Senior tranche ratings are primarily driven by a top-down analysiswhich evaluates the level of overcollateralization maintained inthese transactions through a series of stress tests. Both the AirCanada 2013-1 and 2015-1 class A certificates remain sufficientlyovercollateralized to pass Fitch's 'A' level stress tests whenincorporating the latest available aircraft appraisal data. Thissuggests that senior tranche debt holders would be expected toachieve full principal recovery prior to the expiration of thetransaction's liquidity facility even in a harsh downturn scenario.

Loan to value ratios in the 2013-1 transaction, which is secured byfive 777-300ERs, have weakened marginally over the past year due toheavier than expected value depreciation of that aircraft. 777values are experiencing some softness for various reasons includingthe introduction of Airbus' A350 family, the pending introductionof the 777x (scheduled for the 2020 timeframe), and in anticipationof a number of 777-300ERs scheduled to come off of their initialleases over the next several years. Despite recent valuationsoftness, the transaction remains heavily overcollateralized,producing a maximum stressed LTV of 81.6% in Fitch's 'A' levelstress test.

There have been no material changes to asset values orloan-to-value ratios for the 2015-1 transaction since it waslaunched less than one year ago. The transaction is backed by one787-8 and 8 787-9s, which continue to be highly sought afteraircraft. Fitch's 'A' level stress scenario produces a maximum LTVof 82.4% through the life of the transaction.

Subordinated tranche ratings are notched up from the underlyingairline rating based on three primary factors: 1) the likelihoodthat the collateral would be affirmed in a potential bankruptcy(0-3 notches), 2) the presence of a liquidity facility (1 notch)and 3) recovery prospects. Fitch continues to view both of thesetransactions as having a high likelihood of affirmation (+3notches) given the importance of the 777-300ER and the 787 familyto Air Canada's fleet renewal efforts and international expansionstrategy. Air Canada's IDR remains 'B+/Rating Outlook Stable'.

KEY ASSUMPTIONS

Fitch's key assumptions within the rating case for bothtransactions include:

A tranche ratings are primarily driven by the value of theunderlying collateral. The ratings for the 2013-1 class Acertificates could be considered for a negative action if marketvalues for the 777-300ER were to experience an unexpected andsevere decline. Similarly, the 2015-1 class A certificates could beconsidered for a negative action if 787 values were to experiencean unexpected and severe decline. A positive rating action is notexpected at this time.

The B and C tranche ratings are linked to the underlying airlineIssuer Default Rating (IDR). Therefore if Air Canada's IDR were tobe downgraded, the B and C tranches would likely be downgraded intandem. However, if Fitch were to upgrade the IDR to 'BB-', thesubordinated tranches may not be upgraded as the agency's EETCcriteria provides for some ratings compression when airline IDRsare in the 'BB' category.

The rating actions are primarily a result of deleveraging of thesenior notes and an increase in the transaction'sover-collateralization (OC) ratios since May 2015. The Class A-1notes have been paid down by approximately 43% or $62 million sincethen. Based on Moody's calculation, the OC ratios for the Class A,Class B, Class C and Class D notes are at 163.09%, 132.38%, 114.86%and 102.18%, respectively, versus May 2015 levels of 138.76%,120.95%, 109.56% and 100.66%, respectively. Moody's notes thatbased on the trustee report in January 2016, the transaction failedto satisfy the Class D OC test requirement which is set at 101.9%,due in part to a $2.2 million OC ratio numerator "haircut"calculated in carrying holdings of certain low-rated collateralexceeding 7.5% of the collateral portfolio par at their marketvalues. On the payment date in January 2016, about $1.2 million ofexcess interest proceeds was diverted to pay down Class A-1 notesdue to this Class D OC test failure.

Moody's also notes that the credit quality of the portfolio hasdeteriorated since the May 2015. Based on Moody's calculation, theweighted average rating factor is currently 2678 compared to 2494in May 2015.

Methodology Used for the Rating Action

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inDecember 2015.

Factors that Would Lead to an Upgrade or Downgrade of the Rating:

This transaction is subject to a number of factors andcircumstances that could lead to either an upgrade or downgrade ofthe ratings:

1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy and b) the large concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers.

2) Collateral Manager: Performance can also be affected positively or negatively by a) the manager's investment strategy and behavior and b) differences in the legal interpretation of CLO documentation by different transactional parties owing to embedded ambiguities.

3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance

of the collateral can have adverse consequences for CLO performance.

4) Deleveraging: An important source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds will continue and at what pace. Deleveraging of the CLO could accelerate owing to high prepayment levels in the loan market and/or collateral sales by the manager, which could have a significant impact on the notes' ratings. Note repayments that are faster than Moody's

current expectations will usually have a positive impact on CLO notes, beginning with those with the highest payment priority.

5) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realization of higher

than assumed recoveries would positively impact the CLO.

6) Higher-than-average exposure to assets with weak liquidity: The presence of assets with the worst Moody's speculative grade liquidity (SGL) rating, or SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is far higher for companies with SGL-4 ratings than those with other SGL ratings. Due to the deal's material exposure to SGL-4 rated assets, which constitute around $6.7 million of par, Moody's ran a sensitivity case defaulting those assets.

In addition to the base case analysis, Moody's also conductedsensitivity analyses to test the impact of a number of defaultprobabilities on the rated notes relative to the base case modelingresults, which may be different from the current public ratings ofthe notes. Below is a summary of the impact of different defaultprobabilities (expressed in terms of WARF) on all of the ratednotes (by the difference in the number of notches versus thecurrent model output, for which a positive difference correspondsto lower expected loss):

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in "Moody's GlobalApproach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,weighted average rating factor, diversity score and the weightedaverage recovery rate, are based on its published methodology andcould differ from the trustee's reported numbers. In its basecase, Moody's analyzed the collateral pool as having a performingpar and principal proceeds balance of $175.7 million, defaulted parof $3.0 million, a weighted average default probability of 13.70%(implying a WARF of 2678), a weighted average recovery rate upondefault of 48.75%, a diversity score of 32 and a weighted averagespread of 3.13% (before accounting for LIBOR floors).

Moody's incorporates the default and recovery properties of thecollateral pool in cash flow model analysis where they are subjectto stresses as a function of the target rating on each CLOliability reviewed. Moody's derives the default probability fromthe credit quality of the collateral pool and Moody's expectationof the remaining life of the collateral pool. The average recoveryrate for future defaults is based primarily on the seniority of theassets in the collateral pool. Moody's generally applies recoveryrates for CLO securities as published in "Moody's Approach toRating SF CDOs". In some cases, alternative recovery assumptionsmay be considered based on the specifics of the analysis of the CLOtransaction. In each case, historical and market performance andthe collateral manager's latitude for trading the collateral arealso factors.

ATHERTON BAPTIST: Fitch Hikes Rating on 2010A Bonds to 'BB-'------------------------------------------------------------Fitch Ratings has upgraded to 'BB-' from 'B+' approximately $29million of series 2010A bonds issued by the city of Alhambra, CA onbehalf of Atherton Baptist Homes (Atherton).

PROGRESS BEING MADE: The rating upgrade to 'BB-' from 'B+' reflectsAtherton's solid fiscal 2015 performance and progress sincematerial organizational changes were made throughout 2014 toaddress Atherton's historically weak governance and managementpractices. These changes included a new CEO, a new Chairman of theboard, and restated bylaws to broaden the breadth and diversity ofboard members. In addition, there is new oversight with a combinedsales and marketing director effective November 2015, who isimplementing a targeted marketing approach.

FISCAL 2015 PERFORMANCE LED BY IMPROVED OCCUPANCY: Athertonexceeded its fiscal 2015 budget and is currently compliant with allbond covenants. The improved performance was driven by increasedoccupancy in its Classic independent living units (ILU), which hada budgeted occupancy of 83.5% for fiscal 2015 and actual averageoccupancy was 84.4%. Atherton has shown incremental progressquarter over quarter from a low of 77.6% in the first quarter of2014. Atherton's performance suffered after the slow fill of its 50ILU expansion (Courtyard) that opened in June 2011. These unitsreached 90% occupancy by third quarter 2013 and have sincemaintained high occupancy (97% for fiscal 2015). The slow filldiverted attention from sales and marketing of the older part ofthe campus (Classic units - 170 ILUs) and with increased capitalinvestment in these units and focused sales and marketing, theoccupancy in the Classic ILUs is 89.4% as February 2016.

DEPENDENCE ON ENTRANCE FEES: Although profitability has improvedwith a positive net operating margin in fiscal 2015, there is ahigh dependence on entrance fees for debt service coverage, whichis atypical for a Type C community. Debt service coverage byrevenue only is only 0.3x in fiscal 2015 compared to the Type Cmedian ratio of 1.4x. However, including entrance fees, debtservice coverage is a solid at 2x.

LIGHT LIQUIDITY: Liquidity is light but in line with belowinvestment grade credits with 199 days cash on hand (DCOH) and34.1% cash to debt at Dec. 31, 2015. Atherton has historicallymissed its 180 DCOH covenant, but was met as of the Dec. 31, 2015test date. Atherton's unrestricted cash and investments have beenvolatile since initial entrance fee receipts (used to pay downtemporary debt from series 2010B) were part of unrestricted cashand investments. Atherton paid off the series 2010B bonds in fullin 2014.

RATING SENSITIVITIES

MAINTAINING IMRPOVEMENT: Atherton's fiscal 2016 budget andfive-year projections indicate continued steady improvement in ILUoccupancy and financial performance, which Fitch believes isachievable and would result in further upward rating movement.However, there are longer-term capital plans (after 2020), whichFitch will assess as details and plans are available.

Organizational ChangesA management consultant report was issued in March 2014 due to theviolation of the occupancy requirement in the bond documents andthe cumulative cash used for operations financial covenant (thiscovenant no longer tested as of fiscal 2015). There were severalrecommendations for improvements in the areas of governance andmanagement practices as well as in marketing and sales strategies.These changes were made throughout 2014 and have had a positiveimpact on fiscal 2015 performance and sustaining the continuedimprovement and progress will be key to reaching financialstability.

Management has implemented tools to track various measuresincluding unit vacancies, time to move in, ongoing renovations,weekly sales report, and daily SNF payor mix. The managementconsultant is still engaged at Atherton although bond covenantcompliance is being met and the consultant provides ongoingfeedback to the board and management.

Improved Occupancy and Capital SpendingThe Courtyard project was part of Atherton's campus improvementplan. The project added 50 ILUs to the existing campus at a totalcost of $33.4 million and the Courtyard opened on time and withinbudget in June 2011. Atherton issued $29.3 million fixed rateseries 2010A bonds and $14.64 million of series 2010B bonds to fundthe project. The Courtyard fill up was much slower than anticipatedbut is now at 95% as of February 2016. The projections include theCourtyard units maintaining 96% occupancy.

There has been significant progress in the occupancy of its Classicunits (170 units), which has been driven by much needed capitalinvestment to improve the marketability as well as focused salesand marketing efforts. Atherton's capital budget includes updatingeach unit upon turnover and also addressing deferred maintenanceneeds. The organization is preparing a 30 year master facilityplan, which could include several large projects (after 2020), andFitch will assess the impact on the rating when details areavailable.

Classic ILU occupancy has improved quarter over quarter from a lowof 77.6% in the first quarter of 2014 to 89.4% in the fourthquarter 2015 and was 89.4% as of February 2016. Marketinginitiatives have been refined to a targeted approach versus broadbased, which will better utilize the marketing budget. Currentpriorities are to update its website and have a better digitalmarketing presence. The fiscal 2016 budget assumes 87.1% occupancyin the Classic ILUs, and projections include steady improvement to92.4% in 2020.

Positive Net Operating MarginAlthough Fitch views Atherton's positive net operating margin infiscal 2015 favorably, there has been a structural imbalance ofcash operating expenses in excess of cash operating revenue due toits history of poor management practices and weak board oversight,which will likely take years to address. Operating ratio in 2015was 109% down from 122% the prior year, however, the five yearprojections still show an operating ratio over 100%. One of theareas that was causing a significant issue was uncontrolled workerscompensation costs, which has been addressed and is now beingmanaged with seven open claims from a high of 26 in 2010.

Atherton's fiscal 2015 budget had a bottom line loss of $2.7million and actual performance was negative $1.9 million. Thefiscal 2016 budget has a bottom line loss of $1.452 million.

Dependent on Entrance FeesAtherton's poor profitability necessitates the dependence on netentrance fees for debt service coverage. Net entrance fees in 2015were $4.3 million compared to $3.3 million in 2014, $2.2 million in2013, and $1.2 million in 2012. Atherton restructured its pricingfor the Courtyard units in 2016 and the predominant contract typefor the Courtyard is 90% refundable while the Classic units arepredominantly nonrefundable. The projections include net entrancefees of $3.4 million in 2016, $3.6 million in 2017, $3.5 million in2018, $3.7 million in 2019 and $3.7 million in 2020.

Debt service coverage was solid at 2x in 2015 compared to 1.3x in2014 and 1.4x in 2013. With the projected net entrance fees, debtservice coverage is expected to be 1.9x in 2016, 1.9x in 2017, 2xin 2018, 2.2x in 2019 and 2.3x in 2020 compared to the BBB categorymedian of 2x.

Building Liquidity At Dec. 31, 2015, Atherton had $9.8 million of unrestricted cashand investments which equated to 199 DCOH, a 3.8x cushion ratio and34.1% cash to debt compared to Fitch's 'BBB' category medians of400, 7.3x and 60%. With the projected improvement in occupancy andcash flow with moderate capital spending ($1.4 million a year),liquidity is projected to slowly build over the next five yearswith 310 DCOH and 63.6% cash to debt in 2020. Atherton's investmentportfolio is fairly aggressive for its rating level with 57% of itsinvestments exposed to equities, which has been reduced but stillremains high.

Atherton maintains a defined benefit pension plan that is currentlyunderfunded, but the pension plan is not subject to ERISArequirements. It is unlikely that pension contributions will bemade over the near term as there are other demands on liquiditysuch as meeting its liquidity covenant and future capital needs.

Debt ProfileTotal debt outstanding is approximately $29 million and is 100%fixed rate. MADS is $2.56 million and accounted for 13.6% of totalrevenue in 2015 compared to Fitch's 'BBB' category median of 12.4%.

Atherton is tested on the following bond covenants: 1.2x MADScoverage tested quarterly on a rolling 12 month basis, 180 DCOHtested every June 30 and Dec. 31, and maintaining 46 occupiedCourtyard ILUs (92%) and 140 Classic ILUs (82.4%) every quarter.The liquidity covenant does not trigger an event of default as longas there is a consultant call in. The only covenant that wouldtrigger an event of default is having less than 1x MADS coveragefor two consecutive years (based on audited fiscal year). As ofDec. 31, 2015, Atherton is in compliance with all bond covenants.

The Class X Notes, the Class A Notes, the Class B-1 Notes, theClass B-2 Notes, the Class C Notes, the Class D-1 Notes, the ClassD-2 Notes, and the Class E Notes are referred to herein,collectively, as the "Rated Notes."

Babson 2016-I is a managed cash flow CLO. The issued notes will becollateralized primarily by broadly syndicated first lien seniorsecured corporate loans. At least 96% of the portfolio mustconsist of senior secured loans, cash, and eligible investments,and up to 4% of the portfolio may consist of second lien loans andunsecured loans. The portfolio is approximately 90% ramped as ofthe closing date.

Babson Capital Management LLC will direct the selection,acquisition and disposition of the assets on behalf of the Issuerand may engage in trading activity, including discretionarytrading, during the transaction's four year reinvestment period.Thereafter, the Manager may reinvest unscheduled principal paymentsand proceeds from sales of credit risk assets, subject to certainrestrictions.

In addition to the Rated Notes, the Issuer issued subordinatednotes.

The transaction incorporates interest and par coverage tests which,if triggered, divert interest and principal proceeds to pay downthe notes in order of seniority.

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in Section 2.3.2.1of the "Moody's Global Approach to Rating Collateralized LoanObligations" rating methodology published in December 2015.

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inDecember 2015.

Factors That Would Lead to an Upgrade or Downgrade of the Rating:

The performance of the Rated Notes is subject to uncertainty. Theperformance of the Rated Notes is sensitive to the performance ofthe underlying portfolio, which in turn depends on economic andcredit conditions that may change. The Manager's investmentdecisions and management of the transaction will also affect theperformance of the Rated Notes.

Together with the set of modeling assumptions above, Moody'sconducted an additional sensitivity analysis, which was a componentin determining the ratings assigned to the Rated Notes. Thissensitivity analysis includes increased default probabilityrelative to the base case.

Below is a summary of the impact of an increase in defaultprobability (expressed in terms of WARF level) on the Rated Notes(shown in terms of the number of notch difference versus thecurrent model output, whereby a negative difference corresponds tohigher expected losses), assuming that all other factors are heldequal:

The ratings reflect S&P's view of the collateral's historical andprojected performance, the sponsor's experience, thetrustee-provided liquidity, the loan's terms, and the transaction'sstructure. S&P determined that the loan has a beginning and endingloan-to-value (LTV) ratio of 95.3% based on Standard & Poor's valueand the $166.0 million mortgage loan balance.

(i) Notional balance. The notional amount of the class X-A certificates will be equal to the principal amount of the class A certificates. The notional amount of the class X-B certificates will be equal to the principal amount of the class B and C certificates.

BEAR STEARNS 2004-PWR4: Fitch Corrects Feb. 18 Ratings Release--------------------------------------------------------------Fitch Ratings issued a correction of a release published on Feb.18, 2016. It corrects the rating of Class J provided in theratings list in the original release.

The upgrades to class E through class J are the result of increasedcredit enhancement (CE) due to loan maturities and continuedamortization since the prior review as well as the defeasance ofthe largest loan in the pool (75% of the current balance). Theaffirmations for classes D, K and L are based on the stableperformance of non-specially serviced loans and sufficient CE. Thedowngrade to the already distressed class M is the result ofmodeled losses being realized and the resulting erosion of creditenhancement.

Fitch modeled losses of 8.1% of the remaining pool; expected losseson the original pool balance total 1.9%, including $13.4 million(1.4% of the original pool balance) in realized losses to date.Fitch has designated four loans (24.1%) as Fitch Loans of Concern,which includes two specially serviced assets (11.2%). Interestshortfalls are currently affecting classes N and Q.

As of the January 2016 distribution date, the pool's aggregateprincipal balance has been reduced by 93.2% to $65.2 million from$954.9 million at issuance.

The largest contributor to modeled losses is a real estate owned(REO) office complex (8.8%), containing three industrial flexbuildings totalling 117,798 square feet (sf). The complex, locatedin Buffalo Grove, IL, transferred to the special servicer in May2014 due to imminent default relating to its June 2014 maturitydate. The property has been REO since August 2015. Per theservicer, only one of the three buildings is occupied. Siemens(rated 'A'/Stable Outlook as of Jan. 19, 2016), the sole tenant,recently agreed to renew their lease at the property till October2021. The servicer plans to include the complex in an upcomingauction.

The second largest contributor to modeled losses is a speciallyserviced loan (2.4%) secured by an 18,064 sf unanchored retailstrip center located in Honolulu, HI. The loan transferred to thespecial servicer in March 2014 due to imminent default relating toits April 2014 maturity date. According to the servicer, theborrower was unable to renegotiate the ground lease in place, whichresets at a much higher rate in August of this year. Occupancydropped to 82% as of year-end (YE) 2015 from 100% as of YE 2013.The servicer has initiated the foreclosure process.

The largest Fitch Loan of Concern (7.7%) is secured by a 27,876 sfsingle-tenant retail property located in Hastings-on-Hudson, NY.The property was 100% occupied by The Food Emporium, which is fullyowned by The Great Atlantic & Pacific Tea Company (A&P). A&P filedfor Chapter 11 bankruptcy in July 2015. Several media outlets haveconfirmed that the store has closed down causing the store to "godark"; however, the loan remains current. The servicer reported netoperating income (NOI) debt service coverage ratio (DSCR) increasedto 1.69x as of YE 2014 from 1.56x as of YE 2013. The Food Emporiumlease extends to February 2024, five years after the loan'smaturity in June 2019. Fitch will continue to monitor performanceand leasing activity at the property.

RATING SENSITIVITIES

The Rating Outlooks on classes D through J remain Stable as creditenhancement is high and downgrades are not expected. Additionalupgrades were not considered due to the pool concentration, highpercentage of Fitch Loans of Concern, which includes the twospecially serviced loans, and the long dated maturities of theremaining non-specially serviced loans. Downgrades to thedistressed classes K through M are possible should additionallosses be realized.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relationto this rating action.

Since S&P's effective date rating affirmations, the transaction hasconsistently performed, and its weighted average recovery rateshave increased. The deal is still in its reinvestment period untilJuly 2016, at which time S&P would expect the transaction to beginamortizing.

The upgrades reflect the overall credit seasoning in the underlyingasset pool, as well as the increased credit support evidenced inthe overcollateralization (O/C) ratios.

The O/C ratios have increased for each class from those in theAugust 2012 trustee report, which S&P used in its effective dateaffirmations. In the January 2016 trustee report, which S&P usedfor this review, the trustee reported these O/C ratios:

-- The class A/B O/C ratio was 136.46% compared with 135.83% in

August 2012;

-- The class C O/C ratio was 122.17% compared with 121.61% in August 2012;

-- The class D O/C ratio was 115.44% compared with 114.90% in August 2012; and

-- The class E O/C ratio was 109.99% compared with 109.49% in August 2012.

S&P affirmed its ratings on the class A and E notes to reflect theavailable credit support consistent with the current rating levels.

Although the class B, D, and E notes' cash flow results point tohigher rating levels, S&P took into account the transaction'sexposure to the energy and commodities sectors. As of the January2016 trustee report, the oil and gas sector made up 1.07% of theportfolio, and nonferrous metals/minerals made up 1.89%. Inaddition, 'CCC' rated assets make up 4.19% of the underlyingportfolio.

S&P's transaction review included a cash flow analysis, based onthe portfolio and transaction as reflected in the aforementionedtrustee report, to estimate future performance. In line with S&P'scriteria, its cash flow scenarios applied forward-lookingassumptions on the expected timing and pattern of defaults andrecoveries upon default under various interest rate andmacroeconomic scenarios. In addition, S&P's analysis consideredthe transaction's ability to pay timely interest or ultimateprincipal to each of the rated tranches. The results of the cashflow analysis demonstrated, in S&P's view, that all of the ratedoutstanding classes have adequate credit enhancement available atthe rating levels associated with today's rating actions.

Standard & Poor's will continue to review whether, in its view, theratings assigned to the notes remain consistent with the creditenhancement available to support them and take rating actions as itdeems necessary.

(ii) The cash flow cushion is the excess of the tranche break-even default rate above the scenario default rate at the assigned rating for a given class of rated notes using the actual spread, coupon, and recovery.

RECOVERY RATE AND CORRELATION SENSITIVITY

In addition to S&P's base-case analysis, it generated additionalscenarios in which it made negative adjustments of 10% to thecurrent collateral pool's recovery rates relative to each tranche'sweighted average recovery rate.

S&P also generated other scenarios by adjusting the intra- andinter-industry correlations to assess the current portfolio'ssensitivity to different correlation assumptions assuming thecorrelation scenarios outlined below.

The rating actions follow S&P's review of the transaction'sperformance using data from the Jan. 13, 2016, trustee report.

The upgrades reflect $96.92 million in paydowns to the class A-1notes since S&P's January 2015 rating actions, which have reducedthe class's outstanding balance to 63.26% of its original balance.The transaction exited its reinvestment period in October 2014. Inaddition, the transaction has benefited from the underlyingportfolio's improved credit quality. As of the Jan. 13, 2016,trustee report, the transaction held no defaulted assets and $3.86 million 'CCC' rated assets.

As a result of the senior note paydowns, the overcollateralization(O/C) ratios increased significantly. The trustee reported theseO/C ratios in the January 2016 monthly report compared to theDecember 2014 trustee report, which S&P used for its January 2015rating actions:

-- The class A O/C ratio increased to 128.8% from 122.1% in December 2014;

-- The class B O/C ratio increased to 120.0% from 115.7% in December 2014;

-- The class C O/C ratio increased to 111.1% from 108.9% in December 2014; and

-- The class D O/C ratio increased to 106.2% from 105.0% in December 2014.

The affirmed rating reflects S&P's belief that the credit supportavailable is commensurate with the current rating level.

"Our transaction review included a cash flow analysis, based on theportfolio and transaction as reflected in the aforementionedtrustee report, to estimate future performance. In line with ourcriteria, our cash flow scenarios applied forward-lookingassumptions on the expected timing and pattern of defaults andrecoveries upon default under various interest rate andmacroeconomic scenarios. In addition, our analysis considered thetransaction's ability to pay timely interest or ultimate principalto each of the rated tranches. The results of the cash flowanalysis demonstrated, in our view, that all of the ratedoutstanding classes have adequate credit enhancement available atthe rating levels associated with this rating action," S&P said.

S&P's review of the transaction relied in part upon a criteriainterpretation with respect to our May 2014 criteria "CDOs: MappingA Third Party's Internal Credit Scoring System To Standard & Poor'sGlobal Rating Scale," which allows S&P to use a limited number ofpublic ratings from other NRSRO's for purposes of assessing thecredit quality of assets not rated by Standard & Poor's. Thecriteria provide specific guidance for treatment of corporateassets not rated by Standard &Poor's, while the interpretationoutlines treatment of securitized assets.

Standard & Poor's will continue to review whether, in its view, theratings assigned to the notes remain consistent with the creditenhancement available to support them and take rating actions as itdeems necessary.

(i) The cash flow implied rating considers the actual spread,coupon, and recovery of the underlying collateral. (ii) The cash flow cushion is the excess of the tranche break-evendefault rate above the scenario default rate at the assigned ratingfor a given class of rated notes using the actual spread, coupon,and recovery.

RECOVERY RATE AND CORRELATION SENSITIVITY

In addition to S&P's base-case analysis, it generated additionalscenarios in which it made negative adjustments of 10% to thecurrent collateral pool's recovery rates relative to each tranche'sweighted average recovery rate.

S&P also generated other scenarios by adjusting the intra- andinter-industry correlations to assess the current portfolio'ssensitivity to different correlation assumptions assuming thecorrelation scenarios outlined below.

Fitch does not rate the $15,894,000 class G or the $43,347,829class H certificates. Fitch has withdrawn its rating for the$75,136,000 interest-only class X-B as the certificates are nolonger being offered and will not be issued by the issuing entity.

The certificates represent the beneficial ownership interest in thetrust, primary assets of which are 58 loans secured by 104commercial properties having an aggregate principal balance ofapproximately $1.16 billion as of the cut-off date. The loans werecontributed to the trust by Goldman Sachs Mortgage Company,Citigroup Global Markets Realty Corp., Cantor Commercial RealEstate Lending, L.P., and Starwood Mortgage Funding I LLC.

Fitch reviewed a comprehensive sample of the transaction'scollateral, including site inspections on 78.4% of the propertiesby balance, cash flow analysis of 84.4%, and asset summary reviewson 100% of the pool.

KEY RATING DRIVERS

Highly Concentrated Pool: The top 10 loans comprise 59.4% of thepool, which is above the 2015 and 2014 averages of 49.3% and 50.5%,respectively. Additionally, the LCI is 489, which is well above the2015 and 2014 averages of 367 and 387, respectively.

Higher Leverage than Other Recent Deals: The pool demonstratesleverage statistics that are worse than most recent Fitch-ratedtransactions. The pool's Fitch DSCR of 1.08x is below both the 2015average of 1.18x and the 2014 average of 1.19x. The pool's FitchLTV of 113.5% is above both the 2015 average of 109.3% and the 2014average of 106.2%.

Above Average Collateral Quality: As a percentage ofFitch-inspected properties, 46.6% of the pool received a propertyquality grade of 'B+' or higher. Three loans (18.6% of theinspected properties) received property quality grades of 'A-' orhigher. Eleven inspected properties (6.7%) received a propertyquality grade of 'B-' or below.

Limited Amortization: Based on the scheduled balance at maturity,the pool will pay down just 10.3%, which is less than the 2015 and2014 averages of 11.7% and 12.05, respectively. Eight loans,representing 29.5% of the pool, are full-term interest only, and 33loans representing 42.3% of the pool are partial interest only. Theremainder of the pool consists of 17 balloon loans representing28.2% of the pool, with loan terms of five to 10 years.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 3.8% belowthe most recent year's net operating income (NOI; for propertiesfor which such information was provided). Unanticipated furtherdeclines in property-level NCF could result in higher defaults andloss severities on defaulted loans, and could result in potentialrating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to CGCMT2016-GC36 certificates and found that the transaction displaysaverage sensitivity to further declines in NCF. In a scenario inwhich NCF declined a further 20% from Fitch's NCF, a downgrade ofthe senior 'AAAsf' certificates to 'A-sf' could result. In a moresevere scenario, in which NCF declined a further 30% from Fitch'sNCF, a downgrade of the senior 'AAAsf' certificates to 'BBBsf'could result.

DUE DILIGENCE USAGE

Fitch was provided with third-party due diligence information fromErnst & Young LLP. The third-party due diligence information wasprovided on Form ABS Due Diligence-15E and focused on a comparisonand re-computation of certain characteristics with respect to eachof the 58 mortgage loans. Fitch considered this information in itsanalysis and the findings did not have an impact on the analysis.

The upgrade to class A-M reflects the increase in creditenhancement from continued pay down, coupled with increaseddefeasance since Fitch's last review. The downgrade to class Greflects incurred losses on the subordinate tranche. Fitch modeledlosses of 14.1% of the remaining pool; expected losses on theoriginal pool balance total 15.0%, including $106.4 million (5.3%of the original pool balance) in realized losses to date. Fitch hasdesignated 30 loans (43.6%) as Fitch Loans of Concern, whichincludes four specially serviced assets (4.7%).

As of the February 2016 distribution date, the pool's aggregateprincipal balance has been reduced by 30.8% to $1.4 billion from$2.02 billion at issuance. Eight loans (18.1%) are fully defeased,including the $145 million Charles River Plaza North loan (10.4% ofthe pool). Interest shortfalls are currently affecting classes Hthrough P.

The largest contributor to expected losses is the Irvine EOP SanDiego Portfolio loan (9.8% of the pool), the second largest loan inthe pool. The interest only (IO) loan is collateralized by sevenproperties consisting of six class A and B office buildings and onesingle-tenant restaurant all located in San Diego, CA. Theaggregate square footage for the portfolio is 380,954 square feet(sf). Per the January 2016 rent rolls the portfolio is 90%occupied, an improvement from June 2010, which reported at 69%.Three of the properties are 100% leased; the restaurant (2.3%) iscurrently vacant.

Despite occupancy improvements, property performance remains belowunderwritten levels with the net operating income (NOI) debtservice coverage ratio (DSCR) reporting at 0.90x for three monthyear to date (YTD) September 2015, 0.81x for year-end (YE) June2014, and 0.59x for YE 2013. Leases for approximately 30% of thecollateral's net rentable area (NRA) are scheduled to expire byyear end 2016, with an additional 21% of the NRA to expire byDecember 2017. The loan remains current and is with the masterservicer.

The next largest contributor to expected losses is the Arbors atBroadlands loan (3.6%), the fifth largest loan in the pool. The IOloan is secured by a 240-unit multifamily property located inAshburn, VA (approximately eight miles north-west of the DullesAirport). The property has never met its underwritten rentprojections and performance has remained low since securitization.The September 2015 rent roll reported occupancy at 96%, compared to75% at issuance.

Despite high occupancy NOI DSCR remains low, at 0.99x and 1.0x forYTD September 2015 and YE December 2014, respectively. Per Reis'fourth-quarter 2015 report, overall vacancy was at 4.2% for theSuburban VA, Loundon County Submarket, with asking rents of $1,655per month, compared to average in-place rents of $1,699 per monthat the subject property. The loan has remained current sinceissuance and is with the master servicer.

The third largest contributor to expected losses is the SheratonSuites - Alexandria, VA loan (3.9%), the fourth largest loan in thepool. The loan is secured by a 247-key full-service hotel locatedin the Old Town section of Alexandria, VA, just outside ofWashington, D.C.. Performance has shown gradual signs ofimprovement since 2013, after exhibiting declining occupancy androom revenue's since 2011. The trailing twelve month (TTM) endedDecember 2015 reported occupancy of 77.3%, ADR of $149.31, andRevPAR of $115.48, compared with 73.6%, $144.73, and $106.45,respectively, at YE December 2014. Per the December 2015 SmithTravel Research Report (STR), the property is outperforming inoccupancy and underperforming for ADR RevPAR the competitive setwhich reports TTM occupancy at 75.1%, ADR at $166.21, and RevPAR at$124.74. The loan, which has been amortizing since July 2012,reported an NOI DSCR of 1.13x for YE 2015 and 1.0x for YE 2014. Theloan remains current and is with the master servicer.

RATING SENSITIVITIES

The Outlook on classes A-4, A-1A, and A-M are expected to remainStable as the classes benefit from increasing credit enhancementand continued delevering of the transaction through amortizationand repayment of maturing loans. Fitch had applied additionalstresses to maturing loans when considering the upgrade to accountfor refinance risk.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relationto this rating action.

The expected ratings are based on information provided by theissuer as of Feb. 17, 2016. Fitch does not expect to rate the$14,108,000ab interest-only class X-E, $29,225,159ab interest-onlyclass X-F, $14,108,000a class G or the $29,225,159a class H.

The certificates represent the beneficial ownership interest in thetrust, primary assets of which are 64 loans secured by 91commercial properties having an aggregate principal balance of$806,195,160 as of the cut-off date. The loans were contributed tothe trust by German American Capital Corporation, KeyBank NationalAssociation, and Jefferies LoanCore LLC.

Fitch reviewed a comprehensive sample of the transaction'scollateral, including site inspections on 70.6% of the propertiesby balance and asset summary reviews and cash flow analysis of81.5% of the pool.

KEY RATING DRIVERS

High Fitch Leverage: The transaction has higher leverage than otherrecent Fitch-rated fixed-rate multiborrower transactions. Thepool's Fitch debt service coverage ratio (DSCR) of 1.12x is lowerthan the 2015 average of 1.18x and in line with the year-to-date(YTD) 2016 average of 1.12x, while the pool's Fitch loan-to-value(LTV) of 110.6% is higher than the 2015 average of 109.3% and inline with YTD 2016 average of 110.7%.

Amortization: The pool has four loans (14.9%) with full-terminterest-only structures, which is below the YTD 2016 and 2015averages of 33.4% and 23.3%, respectively. Partial interest-onlyloans represent 54.6% of the pool or 23 loans, while 37 loans(30.5%) are amortizing balloon loans with terms of five to 10years. The pool is scheduled to amortize by 12.8% of the initialpool balance prior to maturity, more than the respective YTD 2016and 2015 averages of 9.3% and 11.7%.

Property Type Concentration: Retail represents the largest propertytype concentration (31.2%), which is higher than both the YTD 2016and the 2015 averages of 23.7% and 26.7%, respectively. Loanssecured by hotel properties comprise 13.6% of the pool, below boththe YTD 2016 and the 2015 averages of 16.1% and 17.0%,respectively. Loans secured by manufactured housing communityproperties comprise 10.1% of the pool and it is significantly aboveboth the YTD 2016 and the 2015 averages of 1.9% and 2.3%.

RATING SENSITIVITIES

For this transaction, Fitch's net cash flow (NCF) was 16.3% belowthe most recent year's net operating income (NOI; for propertiesfor which a full year NOI was provided, excluding properties thatwere stabilizing during this period). Unanticipated furtherdeclines in property-level NCF could result in higher defaults andloss severities on defaulted loans, and could result in potentialrating actions on the certificates.

Fitch evaluated the sensitivity of the ratings assigned to COMM2016-DC2 certificates and found that the transaction displaysaverage sensitivity to further declines in NCF. In a scenario inwhich NCF declined a further 20% from Fitch's NCF, a downgrade ofthe junior 'AAAsf' certificates to 'A-sf' could result. In a moresevere scenario, in which NCF declined a further 30% from Fitch'sNCF, a downgrade of the junior 'AAAsf' certificates to 'BBB-sf'could result. The presale report includes a detailed explanation ofadditional stresses and sensitivities on page 10.

DUE DILIGENCE USAGE

Fitch was provided with third-party due diligence information fromKPMG LLP. The third-party due diligence information was provided onForm ABS Due Diligence-15E and focused on a comparison andre-computation of certain characteristics with respect to each ofthe 64 mortgage loans. Fitch considered this information in itsanalysis and the findings did not have an impact on its analysis.

CONNECTICUT AVENUE 2016-C01: Moody’s Rates Class 1M-2 Debt 'Ba3'------------------------------------------------------------------Moody's Investors Service has assigned definitive ratings to twelveclasses of notes on Connecticut Avenue Securities, Series 2016-C01,a securitization designed to provide credit protection to theFederal National Mortgage Association (Fannie Mae) against theperformance of two reference pools of mortgages totalingapproximately $945 million. All of the Notes in the transaction aredirect, unsecured obligations of Fannie Mae, and as such investorsare exposed to the credit risk of Fannie Mae (Aaa Stable).

The complete rating action is as follows:

$207.6 million of Class 1M-1 notes, Assigned Baa3 (sf)

$333.9 million of Class 1M-2 notes, Assigned Ba3 (sf)

The Class 1M-2 note holders can exchange their notes for thefollowing notes:

$135.4 million of Class 1M-2A exchangeable notes, Assigned Ba1(sf)

$198.5 million of Class 1M-2B exchangeable notes, Assigned B2(sf)

The Class 1M-2A note holders can exchange their notes for thefollowing notes:

$135.4 million of Class 1M-2F exchangeable notes, Assigned Ba1(sf)

$135.4 million of Class 1M-2I exchangeable notes, Assigned Ba1(sf)

$113.2 million of Class 2M-1 notes, Assigned Baa3 (sf)

$195.4 million of Class 2M-2 notes, Assigned B1 (sf)

The Class 2M-2 note holders can exchange their notes for thefollowing notes:

$56.6 million of Class 2M-2A exchangeable notes, Assigned Ba1(sf)

$138.9 million of Class 2M-2B exchangeable notes, Assigned B2(sf)

The Class 2M-2A note holders can exchange their notes for thefollowing notes:

$56.6 million of Class 2M-2F exchangeable notes, Assigned Ba1(sf)

$56.6 million of Class 2M-2I exchangeable notes, Assigned Ba1(sf)

CAS 2016-C01 is the tenth transaction in the Connecticut AvenueSecurities series issued by Fannie Mae. Unlike a typical RMBStransaction, noteholders are not entitled to receive any cash fromthe mortgage loans in the reference pool. Instead, the timing andamount of principal and interest that Fannie Mae is obligated topay on the Notes is linked to the performance of the mortgage loansin the reference pool.

CAS 2016-C01's note write-downs are determined by actual realizedlosses and modification losses on the loans in the Group 1 andGroup 2 reference pools, and not tied to pre-set tiered severityschedules. In addition, the interest amount paid to the notes canbe reduced by the amount of modification loss incurred on themortgage loans. CAS 2016-C01 is also the second transaction in theCAS series to have a legal final maturity of 12.5 years, ascompared to 10 years in previous fixed severity CASsecuritizations.

Moody's rating on the transaction is based on both quantitative andqualitative analyses. This included a quantitative evaluation ofthe credit quality of the reference pool and the impact of thestructural mechanisms on credit enhancement. In addition, Moody'smade qualitative assessments of counterparty performance.

Moody's base-case expected loss for the Group 1 reference pool is1.05% and is expected to reach 8.85% at a stress level consistentwith a Aaa rating. For the Group 2 reference pool, Moody'sbase-case expected loss is 1.15% and is expected to reach 11.10% ata stress level consistent with a Aaa rating.

The Notes

The 1M-1 and 2M-1 notes are adjustable rate P&I notes with aninterest rate that adjusts relative to LIBOR.

The 1M-2 notes are adjustable rate P&I notes with an interest ratethat adjusts relative to LIBOR. The holders of the 1M-2 notes canexchange those notes for an 1M-2A exchangeable note and an 1M-2Bexchangeable note (together referred as the "Group 1 ExchangeableNotes").

Additionally, the holders of the 1M-2A notes can exchange thosenotes for the 1M-2F note and the 1M-2I note (together with the 1M-2note referred as the "Group 1 RCR Notes"). The 1M-2I exchangeablenotes are fixed rate interest only notes that have a notionalbalance that equals the 1M-2A note balance. The 1M-2F notes areadjustable rate P&I notes that have a balance that equals the 1M-2Anote balance and an interest rate that adjusts relative to LIBOR.

The 2M-2 notes are adjustable rate P&I notes with an interest ratethat adjusts relative to LIBOR. The holders of the 2M-2 notes canexchange those notes for the 2M-2A exchangeable note and the 2M-2Bexchangeable note (together referred as the "Group 2 ExchangeableNotes").

Similarly, the holders of the 2M-2A notes can exchange those notesfor the 2M-2F note and the 2M-2I note (together with the 2M-2 notereferred as the "Group 2 RCR Notes"). The 2M-2I exchangeable notesare fixed rate interest only notes that have a notional balancethat equals the 2M-2A note balance. The 2M-2F notes are adjustablerate P&I notes that have a balance that equals the 2M-2A notebalance and an interest rate that adjusts relative to LIBOR.

Fannie Mae will only make principal payments on the notes based onthe scheduled and unscheduled principal payments that are actuallycollected on the reference pool mortgages. Losses on the notesoccur as a result of credit events, and are determined by actualrealized and modification losses on loans in the reference pool,and not tied to a pre-set loss severity schedule. Fannie Mae isobligated to retire the Notes in August 2028 if balances remainoutstanding.

Credit events in CAS 2016-C01 occur when a short sale is settled,when a seriously delinquent mortgage note is sold prior toforeclosure, when the mortgaged property that secured the relatedmortgage note is sold to a third party at a foreclosure sale, whenan REO disposition occurs, or when the related mortgage note ischarged-off. This differs from previous CAS fixed severitysecuritizations, where credit events occur as early as when areference obligation is 180 or more days delinquent.

RATINGS RATIONALE

Summary Credit Analysis and Rating Rationale

As part of its analysis, Moody's considered historic Fannie Maeperformance and severity data, the eligibility criteria of loans inthe reference pool, and the high credit quality of the underlyingcollateral. The reference pool consists of loans that Fannie Maeacquired between January 1, 2015 and February 28, 2015, and have noprevious 30-day delinquencies. The loans in the reference pool areto strong borrowers, as the weighted average credit scores of 749(Group 1) and 744 (Group 2) indicate. The weighted average CLTV of76.23% (Group 1) and 91.67% (Group 2) is higher than recent privatelabel prime jumbo deals, which typically have CLTVs in the high60's range, but is similar to the weighted average CLTVs of otherCAS transactions.

Structural Considerations

Moody's took structural features such as the principal paymentwaterfall of the notes, a 12.5-year bullet maturity, performancetriggers, as well as the allocation of realized losses andmodification losses into consideration in its cash flow analysis.The final structure for the transaction reflects consistent creditenhancement levels available to the notes per the term sheetprovided for the provisional ratings.

For modification losses, Moody's has taken into consideration thelevel of rate modifications based on the projected defaults, theweighted average coupons of the Group 1 (4.18%) and Group 2 (4.25%)reference pools, and compared that with the available creditenhancement on the notes, the coupon and the accrued interestamount of the most junior bonds. The Class B and Class B-Hreference tranches for Group 1 and Group 2 each represent 1.00% ofthe pool. The final coupons on the notes will have an impact on theamount of interest available to absorb modification losses from thereference pool.

The ratings are linked to Fannie Mae's rating. As an unsecuredgeneral obligation of Fannie Mae, the rating on the notes will becapped by the rating of Fannie Mae, which Moody's currently ratesAaa (stable).

Collateral Analysis

The Group 1 reference pool consists of 80,606 loans that meetspecific eligibility criteria, which limits the pool to first lien,fixed rate, fully amortizing loans with an original term of 301-360months and LTVs that range between 60% and 80% on one to four unitproperties. Overall, the reference pool is of prime quality. Thecredit positive aspects of the pool include borrower, loan andgeographic diversification, and a high weighted average FICO of749. There are no interest-only (IO) loans in the reference pooland all of the loans are underwritten to full documentationstandards.

The Group 2 reference pool consists of 47,896 loans that meetspecific eligibility criteria, which limits the pool to first lien,fixed rate, fully amortizing loans with an original term of 301-360months and LTVs that range between 80% and 97% on one to four unitproperties. Overall, the reference pool is of prime quality. Thecredit positive aspects of the pool include borrower, loan andgeographic diversification, and a high weighted average FICO of744. There are no interest-only (IO) loans in the reference pooland all of the loans are underwritten to full documentationstandards.

While assessing the ratings on this transaction, Moody's did notdeviate from its published methodology. The severities for thistransaction were estimated using the data on Fannie Mae's actualloss severities.

Reps and Warranties

Fannie Mae is not providing loan level reps and warranties (RWs)for this transaction because the notes are a direct obligation ofFannie Mae. Fannie Mae commands robust RWs from itsseller/servicers pertaining to all facets of the loan, includingbut not limited to compliance with laws, compliance with allunderwriting guidelines, enforceability, good property conditionand appraisal procedures. To the extent that a lender repurchases aloan or indemnifies Fannie Mae discovers as a result of anconfirmed underwriting eligibility defect in the reference pool,prior months' credit events will be reversed. Moody's expectedcredit event rate takes into consideration historic repurchaserates.

Factors that would lead to an upgrade or downgrade of the rating:

Up

Levels of credit protection that are higher than necessary toprotect investors against current expectations of loss could drivethe ratings up. Losses could decline from Moody's originalexpectations as a result of a lower number of obligor defaults orappreciation in the value of the mortgaged property securing anobligor's promise of payment. Transaction performance also dependsgreatly on the US macro economy and housing market.

Down

Levels of credit protection that are insufficient to protectinvestors against current expectations of loss could drive theratings down. Losses could rise above Moody's original expectationsas a result of a higher number of obligor defaults or deteriorationin the value of the mortgaged property securing an obligor'spromise of payment. Transaction performance also depends greatly onthe US macro economy and housing market. Other reasons forworse-than-expected performance include poor servicing, error onthe part of transaction parties, inadequate transaction governanceand fraud. As an unsecured general obligation of Fannie Mae, theratings on the notes depend on the rating of Fannie Mae, whichMoody's currently rates Aaa.

-- The timely interest and principal payments made under stressed cash flow modeling scenarios that are appropriate for the ratings.

-- S&P's expectation that under a moderate ('BBB') stress scenario, the ratings on the class A and B notes would not drop by more than one rating category, and the ratings on the class C, D, and E notes would not drop by more than two rating categories within the first year. These potential rating movements are consistent with S&P's rating stability criteria.

-- The collateral characteristics of the pool being securitized with direct loans accounting for approximately 26% of the initial cut-off pool. These loans historically have lower losses than the indirect-originated loans. Prefunding will also be used in this transaction in the amount of $30.0 million, approximately 15% of the pool. The subsequent receivables, which amount to approximately 20%-30% of the 2015 company's quarterly origination volume, are expected to be transferred into the trust within three months from the closing date.

First Investors Financial Services Inc.'s 26-year history oforiginating and underwriting auto loans, 15-year history of self-servicing auto loans, and 12 years as a third-party servicer,as well as its track record of securitizing auto loans since 2000.

First Investors' 13 years of origination static pool data,segmented by direct and indirect loans.

Wells Fargo Bank N.A.'s experience as the committed back-upservicer.

The transaction's sequential payment structure, which builds creditenhancement based on a percentage of receivables as the poolamortizes.

The affirmations reflect the high percentage of defeasedcollateral, low leverage of the remaining non-defeased loans andthe high percentage of fully amortizing loans (68%). There are 25loans remaining in the pool, 13 of which are defeased (52.2% of thepool). Fitch has designated one loan (5.5%) as a Fitch Loan ofConcern, which is secured by a dark Rite Aid in Claremont, NH. RiteAid vacated in 2008 and moved to a new location. The loan,however, has remained current.

As of the February 2016 distribution date, the pool's aggregateprincipal balance has been reduced by 97.8% to $26.6 million from$1.18 billion at issuance. Interest shortfalls are currentlyaffecting classes M through N.

The largest non-defeased loan in the pool (8.9%) is backed by a250-unit multifamily development located in Charlotte, NC. As ofSeptember 2015, the property was 97% occupied and the debt servicecoverage ratio was reported to be 1.41x.

Of the remaining 12 non-defeased loans, 11 are single-tenantproperties representing 38.9% of the pool, including five loanswith exposure to Rite Aid/Eckerd (23.9%; rated 'B', Rating WatchPositive by Fitch), four with Walgreens (9.2%; not rated by Fitch),one with CVS (2.8%), and one IHOP (3%).

RATING SENSITIVITIES

The Stable Outlook on the class K notes reflects Fitch's Outlook onthe rating of the U.S. government as the class is fully covered bydefeased collateral. Upgrades to class L are limited due to theconcentration of loans in secondary and tertiary markets and thereliance on collateral backed by single-tenant retail properties.An upgrade to class L is possible if additional loans defease.Alternatively, a downgrade is possible if performance of theremaining collateral declines significantly.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relationto this rating action.

FNT Mortgage Certificates 2001-4 and Sequoia Mortgage Trust 5 areeach backed by a small remaining pool of prime jumbo mortgageloans. S&P believes pools with less than 100 loans remaining createan increased risk of credit instability, because a liquidation andsubsequent loss on one loan, or a small number of loans, at thetail end of a transaction's life may have a disproportionate impacton a given RMBS tranche's remaining credit enhancement. S&P refersto this as tail risk.

S&P addressed the tail risk on the classes in this review byconducting a loan-level analysis that assesses this risk, as setforth in its tail risk criteria. The rating actions reflect thecorrect application of its tail risk criteria.

The rating on class B-2 from Sequoia Mortgage Trust 5 was notaffected by the error. Therefore, at this time, S&P issimultaneously affirming its rating on this class at 'CC (sf)' dueto continuing insufficient credit support compared with itsprojected losses.

ECONOMIC OUTLOOK

When determining a U.S. RMBS collateral pool's relative creditquality, S&P's loss expectations stem, to a certain extent, fromour view of how the loans will behave under various economicconditions. Standard & Poor's baseline macroeconomic outlookassumptions for variables that it believes could affect residentialmortgage performance are as follows:

An overall unemployment rate declining to 4.8% in 2016; Real GDP growth increasing to 2.7% in 2016; The inflation rate will be 1.9% in 2016; and The 30-year fixed mortgage rate will rise to 4.4% in 2016.

S&P's outlook for RMBS is stable. "Although we view overall housingfundamentals positively, we believe RMBS fundamentals still hingeon additional factors, such as the ultimate fate of modified loans,the propensity of servicers to advance on delinquent loans, andliquidation timelines," said S&P.

S&P said, "Under our baseline economic assumptions, we expect RMBScollateral quality to improve. However, if the U.S. economy were tobecome stressed in line with Standard & Poor's downside forecast,we believe that U.S. RMBS credit quality would weaken."

S&P's downside scenario reflects the following key assumptions:

Total unemployment will tick up to 5.4% for 2016; Downward pressure causes GDP growth to fall to 1.3% in 2016; Home price momentum slows as potential buyers are not able to purchase property; and While the 30-year fixed mortgage rate inches up to 4.0% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates.

The upgrade to class J reflects the imminent payoff of the onlyloan remaining in the pool. The loan is secured by a portfolio offour grocery-anchored retail properties in Georgia and SouthCarolina totaling 167,177 square feet. Three of the properties areanchored by Bi-Lo and the other is a dark Piggly Wiggly store. Theloan transferred to the special servicer in November 2014 due toimminent default ahead of the loan's March 2016 maturity. Accordingto the special servicer, the four collateral properties are undercontract to sell as part of a larger portfolio of properties ownedby the loan sponsor. It is expected that the sale proceeds willpay off the loan in full before the maturity date. As of year-end2014, the debt service coverage ratio was reported to be 1.10x andeconomic occupancy was 97%.

The affirmation of classes K through O reflects incurred losses.The pool has experienced $45.3 million (3.4% of the original poolbalance) in realized losses to date. As of the February2016distribution date, the pool's aggregate principal balance has beenreduced by 98.9% to $14.5 million from $1.32 billion at issuance.Interest shortfalls are currently affecting the class K through Pnotes.

RATING SENSITIVITIES

A further upgrade to class J is limited by the concentrated natureof the pool. No further rating changes are anticipated for theremaining life of the deal. A downgrade to class J could occur ifthe remaining loan does not pay off as expected and experiences asignificant performance decline.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relationto this rating action.

The affirmations at distressed levels reflect the high probabilityof default of the classes. Since the last rating action, the classA-1 notes have received approximately $48.2 million in pay downfrom asset sales, principal amortization, and interest diversiondue to the failure of the coverage tests. Over the same period,the CDO realized losses of approximately $91 million, including, asexpected, the full write down of a $39.9 million junior mezzanineinterest in Stuyvesant Town/Peter Cooper Village.

The CDO is approximately $150 million under collateralized. As ofthe February 2016 trustee report, the CDO was comprised of 13.9%commercial real estate loans and 86.1% rated securities. The ratedsecurities have a weighted average Fitch derived rating of 'CCC+'.

The CDO continues to fail its overcollateralization tests,resulting in the capitalization of interest for classes C throughJ. The transaction entered into an Event of Default (EOD) on March12, 2012 due to the class A/B Par Value Ratio falling below 89%; todate, the majority controlling class has waived the EOD until Jan.27, 2017. The majority of the controlling class, however, hasreserved the right to revoke or extend the waiver at any time.

In recent payment periods, interest proceeds have been insufficientto pay both swap counterparty obligations and timely interest dueon the senior classes (A-1 through B). As a result, a significantportion of the interest due on these obligations has been paidusing principal proceeds. Fitch is concerned about the assetmanager's ability to continue to manage the CDO such that principaland interest proceeds are available to make timely interestpayments to these classes given the diminished amount of fundsavailable and significant swap payments, which are senior to theseclasses within the waterfall.

Under Fitch's methodology, approximately 71.6% of the portfolio ismodeled to default in the base case stress scenario, defined as the'B' stress. Fitch estimates that average recoveries will be 35.5%reflecting low recovery expectations upon default of the CMBStranches and non-senior real estate loans. This results in aFitch's base case loss of 46.2%.

The largest component of Fitch's base case loss is the expectedlosses on the CMBS bond collateral. The second largest contributorto loss is related to a mezzanine loan (2.9% of the pool) backed bya 1.2 million-sf office tower located in the garment district ofMidtown Manhattan. As of the September 2015 rent roll, theproperty was 85% leased. However, the loan is over-leveraged, andFitch modeled a significant loss on this interest.

This transaction was analyzed according to the 'SurveillanceCriteria for U.S. CREL CDOs', which applies stresses to propertycash flows and debt service coverage ratio (DSCR) tests to projectfuture default levels for the underlying portfolio. Recoveries forthe CRE loan portion of the collateral are based on stressed cashflows and Fitch's long-term capitalization rates. The non-CRE loanportion of the collateral was analyzed in the Portfolio CreditModel according to the 'Global Rating Criteria for StructuredFinance CDOs'. The transaction was not cash flow modeled given thelimited available interest received from the assets relative to theinterest rate swap payments due; unpredictable timing andavailability of principal proceeds; and distressed nature of theratings.

All ratings are based on a deterministic analysis that considersFitch's base case loss expectation for the pool and the currentpercentage of defaulted assets and Fitch Loans of Concern factoringin anticipated recoveries relative to each class' creditenhancement as well as consideration for the likelihood of the CDOto continue its ability to make timely payments on the seniorclasses. Ultimate recoveries to the senior class, however, shouldbe significant.

GREENPOINT MORTGAGE: Moody's Hikes Rating on Cl. M-1 Debt to Ba1----------------------------------------------------------------Moody's Investors Service has upgraded the ratings of four tranchesfrom two RMBS transactions backed by second lien and HELOC mortgageloans.

The ratings upgraded are primarily due to the build-up in creditenhancement on the bonds and stable performance of the underlyingcollateral. The rating actions reflect recent performance of thepools and Moody's updated loss expectations on the pools.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in November 2013.

Factors that would lead to an upgrade or downgrade of the rating:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.9% in January 2016 from 5.7% inJanuary 2015. Moody's forecasts an unemployment central range of4.5% to 5.5% for the 2016 year. Deviations from this centralscenario could lead to rating actions in the sector.

House prices are another key driver of US RMBS performance. Moody'sexpects house prices to continue to rise in 2016. Lower increasesthan Moody's expects or decreases could lead to negative ratingactions. Finally, performance of RMBS continues to remain highlydependent on servicer procedures. Any change resulting fromservicing transfers or other policy or regulatory change can impactthe performance of these transactions.

The rating confirmations reflect the overall stable performance ofthe transaction, which remains in line with DBRS expectations. Atissuance, the collateral consisted of 74 fixed-rate loans securedby 112 commercial properties. The transaction had a DBRSweighted-average (WA) debt service coverage ratio (DSCR) and a DBRSWA debt yield of 1.68 times (x) and 8.9%, respectively. As of theFebruary 2016 remittance, loans representing 89.4% of the currentpool balance are reporting 2015 partial-year financials (most loansreporting a Q3 2015 figure). Based on the 2015 cash flows, the top15 loans reported a WA amortizing DSCR of 2.20x, with a WA net cashflow growth over the respective DBRS underwritten figures of 12.1%.All loans remain in the pool, with an aggregate balance of $908.1million, representing a collateral reduction of 0.6% since issuanceas a result of scheduled loan amortization.

As of the February 2016 remittance, there are no loans in specialservicing and three loans are on the servicer’s watchlist,representing 3.2% of the current pool balance. One loan in the top15 and the largest watchlisted loan are detailed below.

The 411 Seventh Avenue loan (Prospectus ID#8, 2.4% of the currentpool balance) is secured by a 301,771 square foot (sf) Class Boffice property in the Pittsburgh central business district (CBD).The property was built in 1915 and renovated in 1993, and iscommonly known as the Chamber of Commerce building. According tothe September 2015 rent roll, the property was 77.2% occupied,which is a decrease from the in-place occupancy of 83.3% atissuance. The largest two tenants, Duquesne Lights and Commonwealthof Pennsylvania, occupy 40.3% of the net rentable area (NRA) and15.0% of the NRA, respectively. Both tenants have leases scheduledto expire beyond loan maturity in 2029/2030 and areinvestment-grade tenants. The former third-largest tenant, GatewayHealth Plan, previously occupied 6.4% of the NRA and vacated theproperty at its December 2015 lease expiration. Consequently,occupancy appears to have further declined to 70.8%. In order toimprove occupancy, the borrower has changed companies for itsleasing services from Jones Lang LaSalle to Colliers and Colliershas been actively marketing the property since December 2015. Threeprospective tenants have shown interest in the property; however,no letters of intent or new leases have been executed to date.According to CoStar, properties larger than 200,000 sf in thePittsburgh CBD submarket reported an average rental rate of $20.91per square foot (psf), an average vacancy rate of 9.7% and anaverage availability rate of 14.0%. The subject property isunderperforming in comparison with an average rental rate of $18.77psf and vacancy rate of 29.2%; however, the average rental rate isslightly above the issuance rental rate of $18.66 psf.

This loan was structured with an upfront tenantimprovements/leasing commission rollover reserve of $500,000 atissuance with monthly deposits equivalent to $136,000 per year.This amount translates to approximately $7.27 psf when consideringall vacant units, which may not be enough to successfully attractenough new tenants to bring the occupancy rate to the submarketaverage. At Q3 2015, the DSCR was 1.54x, an increase from the DBRSunderwritten DSCR of 1.48x; however, DBRS expects the net cash flowto decline slightly given that occupancy is below the market andunderwritten levels.

The Schuyler Commons loan (Prospectus ID#15, 1.6% of the currentpool balance) is secured by a 144-unit multifamily apartmentcomplex located in Utica, New York. The property is a Class A,age-restricted senior housing community that was constructed in2008. This loan was placed on the watchlist because the Q2 2015DSCR declined to 1.00x when occupancy was at 89.6%, a decrease fromthe DBRS underwritten DSCR of 1.10x and the in-place occupancy of93.1% at issuance. According to the September 2015 rent roll,occupancy has further declined to 86.8%, with an average rentalrate of $1,450 per unit, which is slightly above the issuanceaverage rental rate of $1,444 per unit. Despite the decline inoccupancy, the Q3 2015 DSCR has improved to 1.09x. The slightdifference between the Q3 2015 net cash flow and DBRS underwrittennet cash flow is mainly driven by a 2.1% decrease in effectivegross income and a 6.0% increase in operating expenses,specifically the general and administrative expense.

GSAA HOME 2005-10: Moody's Cuts Class M-2 Debt Rating to B1(sf)---------------------------------------------------------------Moody's Investors Service has upgraded the ratings of 21 tranchesand downgraded the rating of one tranche, from 10 transactionsissued by various issuers, backed by Subprime mortgage loans.

The upgrades are a result of improving performance of the relatedpools and/or build-up in credit enhancement of the tranches. Theactions reflect the recent performance of the underlying pools andMoody's updated loss expectations on the pools. The ratingsdowngrade is the result of structural features resulting in higherexpected losses for the bonds than previously anticipated.

HIGHLAND PARK I: S&P Lowers Rating on Class B Notes to CC---------------------------------------------------------Standard & Poor's Ratings Services raised its rating on the classA-1 notes from Highland Park CDO I Ltd., a U.S. commercial realestate collateralized debt obligation (CRE CDO) transaction. Atthe same time, S&P also lowered the rating on the class B notes andaffirmed the rating on the class A-2 notes from the sametransaction.

The rating actions follow S&P's review of the transaction'sperformance using the data from the December 2015 trustee report.

The rating on class A-1 was raised due to its improved creditsupport and the expectation of continuing paydowns. Since S&P'sFebruary 2013 rating actions, the transaction has paid down theclass A-1 notes by $224.37 million. Following the Nov. 25, 2015,payment date, the class A-1 note balance declined to 11.44% (from79.64% in February 2013). S&P expects the paydowns to continuesince the deal is failing its class A/B overcollateralization (O/C)test. Based on December 2015 monthly trustee report, the class A/BOC ratio is at 76.40% (versus the required 121.4%), down from82.40% in December 2012. From this, S&P can calculate that theclass A-1 and A-2 O/C ratios are 317.87% and 106.24%, respectively. The comparative numbers based on the December 2012 monthly trusteereport are 119.82% and 93.16%, respectively.

Though the paydowns improved the credit support to the seniornotes, the decline in the class A/B O/C ratio indicates a parerosion for the class B notes. The class B notes are still currentin their interest, but their low O/C was the primary reason for thedowngrade and reflects S&P's view that the class is unlikely to berepaid in full.

The affirmation of the class A-2 rating reflects S&P's belief thatthe credit support available is commensurate with the currentrating level.

S&P will continue to review whether, in its view, the ratingsassigned to the notes remain consistent with the credit enhancementavailable to support them, and S&P will take further rating actionsas it deems necessary.

RATING RAISED

Highland Park CDO I Ltd. RatingClass To FromA-1 BB- (sf) B+ (sf)

RATING LOWERED

Highland Park CDO I Ltd. RatingClass To FromB CC (sf) CCC- (sf)

RATING AFFIRMED

Highland Park CDO I Ltd.

Class RatingA-2 CCC- (sf)

JP MORGAN 2002-C1: Moody's Hikes Class H Debt Rating to 'B1(sf)'----------------------------------------------------------------Moody's Investors Service has upgraded the ratings on two classesand affirmed the ratings on two classes in J.P. Morgan ChaseCommercial Mortgage Securities Corporation, Commercial Pass-ThroughCertificates, Series 2002-C1 as follows:

The ratings on two P&I classes, Class G and H, were upgraded basedprimarily on an increase in credit support resulting from loanpaydowns and amortization. The deal has paid down 39% since Moody'slast review.

The rating on one P&I class, Class J, was affirmed because theratings are consistent with Moody's expected loss.

The rating on the IO class, Class X-1, was affirmed based on thecredit performance (or the weighted average rating factor) of thereferenced classes.

Moody's rating action reflects a base expected loss of 2.4% of thecurrent balance, compared to 33.7% at Moody's last review. Moody'sbase expected loss plus realized losses is now 4.6% of the originalpooled balance, compared to 4.9% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

DEAL PERFORMANCE

As of the January 12, 2016 distribution date, the transaction'saggregate certificate balance has decreased by 96% to $30.9 millionfrom $816.6 million at securitization. The certificates arecollateralized by 13 mortgage loans ranging in size from less than1% to 51% of the pool. Seven loans, constituting 21.9% of the pool,have defeased and are secured by US government securities.

Two loans, constituting 3% of the pool, are on the masterservicer's watchlist. The watchlist includes loans that meetcertain portfolio review guidelines established as part of the CREFinance Council (CREFC) monthly reporting package. As part ofMoody's ongoing monitoring of a transaction, the agency reviews thewatchlist to assess which loans have material issues that couldaffect performance.

Twenty loans have been liquidated from the pool, resulting in anaggregate realized loss of $36.9 million (for an average lossseverity of 40%). The Park Villa Apartments Loan, constituting 8.3%of the pool, is the only loan in special servicing. The loan issecured by a 92-unit multifamily property located six miles fromdowntown Atlanta, Georgia. The loan was transferred to specialservicing in December 2011 for imminent default and became realestate owned ("REO") in June 2013.

Moody's received full year 2014 operating results for 100% of thepool, and partial year 2015 operating results for 80% of the pool.Moody's weighted average conduit LTV is 88%, compared to 84% atMoody's last review. Moody's conduit component excludes loans withstructured credit assessments, defeased and CTL loans, andspecially serviced and troubled loans. Moody's net cash flow (NCF)reflects a weighted average haircut of 15% to the most recentlyavailable net operating income (NOI). Moody's value reflects aweighted average capitalization rate of 9.6%.

Moody's actual and stressed conduit DSCRs are 1.00X and 1.32X,respectively, compared to 1.02X and 1.42X at the last review.Moody's actual DSCR is based on Moody's NCF and the loan's actualdebt service. Moody's stressed DSCR is based on Moody's NCF and a9.25% stress rate the agency applied to the loan balance.

The top three conduit loans represent 69% of the pool balance. Thelargest loan is the Hamilton Mill Business Center Loan ($15.9million -- 51.4% of the pool), which is secured by a 550,000 squarefoot (SF) industrial property located in Buford, Georgia. Theproperty serves as a single tenant distribution center for OfficeDepot with a lease expiration in April 2020. The property was soldin July 2014 to Gramercy Property Trust for over $26 million andthe loan was assumed. Due to the single tenant exposure, Moody'sstressed the value of the property utilizing a lit/dark analysis.Moody's LTV and stressed DSCR are 89% and 1.18X, respectively,compared to 90% and 1.17X at the last review.

The second largest loan is The Container Store Loan ($4.6 million-- 14.8% of the pool), which is secured by a 24,000 SF retailproperty located in White Plains, New York. The Container Storeoccupies the entire property and its lease expires in January 2021.The tenant recently extended their lease five years. Performancehas remained stable and the loan benefits from amortization. Due tothe single tenant exposure, Moody's stressed the value of theproperty utilizing a lit/dark analysis. Moody's LTV and stressedDSCR are 91% and 1.25X, respectively, compared to 92% and 1.23X atthe last review.

The third largest loan is the FM 1960 Plaza Loan ($764,700 -- 2.5%of the pool), which is secured by a 41,000 SF retail center locatedin Houston's Far North submarket. Property performance dropped in2014 due to a decline in revenue. Moody's LTV and stressed DSCR are73% and 1.59X, respectively, compared to 69% and 1.70X at the lastreview.

The ratings on four investment grade P&I classes, Classes A-4,A-SB, A-1A and A-M, were affirmed because the transaction's keymetrics, including Moody's loan-to-value (LTV) ratio, Moody'sstressed debt service coverage ratio (DSCR) & the transaction's keymetrics are within acceptable ranges.

The ratings on two below investment grade P&I classes, Classes Cand D, were affirmed because the ratings are consistent withMoody's base expected loss.

The ratings on two below investment grade P&I classes, Classes A-Jand B, were downgraded due to higher anticipated and realizedlosses from specially serviced and troubled loans.

The rating on the IO Class, Class X, was downgraded based on adecline in the credit performance of its reference classesresulting from the principal paydowns of higher quality referenceclasses.

Moody's rating action reflects a base expected loss of 7.6% of thecurrent balance compared to 7.7% at last review. The deal has paiddown 4% since last review and 28% since securitization. Moody'sbase plus realized loss totals 14.9% of the original pooledbalance, compared to 14.6% at last review. Moody's provides acurrent list of base expected losses for conduit and fusion CMBStransactions on moodys.com athttp://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan pay downs or amortization, an increasein the pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

Since Fitch published its expected ratings on Jan. 19, 2016, theissuer removed the $347,000,000 class X-CP and the $347,000,000class X-NCP. As such, Fitch withdrew its expected ratings of'BBB-sf' for each class. Fitch does not rate the $58,300,000 classG.

The certificates represent the beneficial interest in a trust thatholds a five-year, fixed rate, interest-only $585 million mortgageloan secured by the fee and leasehold interests in 30 hotelproperties with a total of 7,236 rooms located in 16 states. Thesponsor of the loan is Atrium Holding Company. The loan wasoriginated by JPMorgan Chase Bank, National Association (rated'A+'/'F1'/Stable Outlook).

KEY RATING DRIVERS

Diverse Portfolio: The portfolio exhibits geographic diversity,with 30 properties located across 16 states; no state representsmore than 15.2% of portfolio cash flow. The top 10 propertiesaccount for approximately 54% of the portfolio cash flow and 39% ofthe total keys.

Asset Quality and Age: The 30 properties comprising the portfoliohave an average age of 23.5 years (built from 1979-2000) which isconsidered an older vintage. The portfolio's assets are wellmaintained, with $258.9 million ($35,785 per key) of capitalimprovements spent from 2005 through November 2015. In addition,$125.2 million ($17,300 per key) in capital improvements arebudgeted through 2020.

National Franchise Flags: Twenty nine of the 30 hotels arefranchised with Hilton, Marriott, Intercontinental Hotel Group(IHG), Carlson Rezidor, and Starwood and benefit from theirrespective loyalty point and reservations systems. The EmbassySuites by Hilton represents the largest brand, with 34.5% of theportfolio's total keys and 47.1% of the portfolio's trailing 12months (TTM) November 2015 net cash flow (NCF). The remainingbrands include Marriott, Renaissance, Holiday Inn, Hilton,Sheraton, Homewood Suites, Hampton Inn & Suites, Crowne Plaza,Radisson and one independently operated hotel.

RATING SENSITIVITIES

Fitch found that the 'AAAsf' class could withstand an approximate72.5% decrease to the most recent actual NCF prior to experiencing$1 of loss to the 'AAAsf' rated class. Fitch performed severalstress scenarios in which the Fitch NCF was stressed. Fitchdetermined that a 68% reduction in Fitch's implied NCF would causethe notes to break even at a 1.0x DSCR, based on the actual debtservice.

Fitch evaluated the sensitivity of the ratings for class A andfound that a 15% decline in Fitch's implied NCF would result in aone-category downgrade, while a 45% decline would result in adowngrade to below investment grade.

The certificate issuance is a commercial mortgage-backed securitiestransaction backed by one five-year, fixed-rate commercial mortgageloan totaling $585.0 million, secured by cross-collateralized andcross-defaulted mortgages and deeds of trust on the borrowers' feeand leasehold interests in 30 full-service, limited-service, andextended-stay hotels and by a first-lien mortgage encumbering allof the operating lessees' rights in the properties.

"Since we assigned our preliminary ratings on Jan. 19, 2016, themaster servicer for the transaction was changed to KeyBank N.A.,and the interest-only classes X-CP and X-NCP were eliminated fromthe transaction. Also, the transaction's class F and Gcertificates have been designated as control-eligible certificateswith certain control rights. In addition, the interest rate on theunderlying loan increased by 0.50% to 4.87% from 4.37%, resultingin a decrease in the Standard & Poor's debt service coverage ratioto 2.26x from 2.52x, based on Standard & Poor's net cash flow andthe loan's fixed interest rate. The final offering circular alsoprovides additional information with respect to a previouslyoutstanding mezzanine financing, noting that affiliates of theprior borrower purchased the mezzanine loan, which was originatedin 2008 and had an outstanding balance of $239.0 million at thetime of purchase, for $151.8 million, a 36.5% discount," S&P said.

The ratings reflect S&P's view of the collateral's historic andprojected performance, the sponsor's and manager's experience, thetrustee-provided liquidity, the loan's terms, and the transaction'sstructure. S&P determined that the loan has a beginning and endingloan-to-value ratio of 94.6%, based on Standard & Poor's value.

The rating actions are primarily a result of the deleveraging ofthe Class A-1 notes and an increase in the transaction'sover-collateralization (OC) ratios since February 2015.

The Class A-1 notes have paid down by approximately 21.7% or $26.3million since February 2015, using principal proceeds from theredemptions/prepayments of the underlying assets and the diversionof excess interest proceeds. In 2014, the transaction declared anevent of default (EoD) due to a missed interest payment withrespect to the class B notes, and a majority of the controllingclass directed the trustee to declare the Class A-1 notesimmediately due and payable. As a result of the acceleration of thenotes, all proceeds are currently used to pay interest, thenprincipal on the Class A-1 notes. The Class A-1 notes' par coveragehas thus improved to 384.1% from 308.3% since February 2015, byMoody's calculations. The Class A-2 notes' par coverage has alsoimproved to 178.3% from 166.4% over the same period, although thenotes continue to default on its interest because of theacceleration of the Class A-1 notes.

In addition, $239 million in notional of pay-fixed,receive-floating interest rate swaps will mature by in August 2016,which will free up more excess interest to pay down the Class A-1notes. On the last payment date in February 2016, the deal paid$2.6 million of interest proceeds to the swap counterparty. As aresult of the note acceleration, the Class A-1 notes will continueto benefit from the diversion of excess interest and the use ofproceeds from redemptions of any assets in the collateral pool.

The actions also reflect the consideration that an EoD iscontinuing for the transaction, and that as a remedy to the EoD, 662/3% of each class, voting separately, can direct the trustee toproceed with the sale and liquidation of the collateral. In such acase, the severity of losses will depend on the timing and choiceof remedy. Although Moody's believes the likelihood of liquidationis remote, the upgrade magnitude on the notes were tempered byconcerns about potential losses arising from liquidation as well asthe deal's high exposure to assets with low credit quality.

The key model inputs Moody's used in its analysis, such as par,weighted average rating factor, and weighted average recovery rate,are based on its methodology and could differ from the trustee'sreported numbers. In its base case, Moody's analyzed the underlyingcollateral pool has having a performing par and principal proceedsbalance (after treating deferring securities as performing if theymeet certain criteria) of $344.4 million, defaulted/deferring parof $36.9 million, a weighted average default probability of 55.72%(implying a WARF of 4718), and a weighted average recovery rateupon default of 10.5%. In addition to the quantitative factorsMoody's explicitly models, qualitative factors are part of ratingcommittee considerations. Moody's considers the structuralprotections in the transaction, the risk of an event of default,recent deal performance under current market conditions, the legalenvironment and specific documentation features. All informationavailable to rating committees, including macroeconomic forecasts,inputs from other Moody's analytical groups, market factors, andjudgments regarding the nature and severity of credit stress on thetransactions, can influence the final rating decision.

The transaction continues to amortize, with two classes of notespaid in full since S&P's May 2014 rating actions. The class B notesare currently receiving paydowns, and their outstanding balance isnow at 94.74% of their original balance. The transaction has paiddown a total of $88.11 million since May 2014.

The lower balances helped increase the credit support to alltranches, resulting in upgrades. The increase in the credit supportis reflected in the higher overcollateralization (O/C) ratios. TheJanuary 2016 trustee report indicated the following O/C increasesfrom the April 2014 trustee report, which S&P used for its previousrating actions:

Though the credit support increased, the portfolio currently hasnearly 46% of the performing collateral maturing after thetransaction's maturity in December 2018. S&P's analysis consideredthe potential market value and/or settlement-related risk resultingfrom the remaining securities' potential liquidation on thetransaction's legal final maturity date.

The ratings on the class C and D notes were affected by theapplication of the largest obligor default test, a supplementalstress test included in S&P's corporate collateralized debtobligation criteria. S&P's rating on the class D notes reflects theclass' strong cash flow results, the portfolio's lower weightedaverage life, and the application of "Criteria For Assigning'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct. 1, 2012.

S&P said, "We will continue to review whether, in our view, theratings assigned to the notes remain consistent with the creditenhancement available to support them, and we will take ratingactions as we deem necessary."

(i) The cash flow implied rating considers the actual spread, coupon, and recovery of the underlying collateral. (ii) The cash flow cushion is the excess of the tranche break- even default rate above the scenario default rate at the assigned rating for a given class of rated notes using the actual spread, coupon, and recovery.

RECOVERY RATE AND CORRELATION SENSITIVITY

In addition to S&P's base-case analysis, it generated additionalscenarios in which it made negative adjustments of 10% to thecurrent collateral pool's recovery rates relative to each tranche'sweighted average recovery rate.

S&P also generated other scenarios by adjusting the intra- andinter-industry correlations to assess the current portfolio'ssensitivity to different correlation assumptions assuming thecorrelation scenarios outlined below.

LEGACY BENEFITS 2004-1: Moody's Cuts Class B Debt Rating to Ba2---------------------------------------------------------------Moody's has placed on review for possible downgrade the Class ANotes and has downgraded and placed on review for possibledowngrade Class B Notes issued by Legacy Benefits Life InsuranceSettlements 2004-1 LLC. The underlying collateral consists of apool of universal life insurance policies and annuity contractspurchased on the lives of the insured individuals. Amounts receivedunder the fixed payment annuity contracts are designated to coverthe future premium payments on the corresponding insurance policy,as well as fees, interest and principal on the notes.

The rating actions are prompted by the risk of potential insurancepolicy lapses and also subordination in the case of the Class BNotes. Policy lapses occur when the account value for a policydepletes completely, and there are no funds remaining to apply tothe cost of insurance. The annuities may not be able to keep upwith the rise in the cost of insurance of the correspondinginsurance policies, thus depleting the account values. In addition,there is risk of policy lapses as the insured individuals age andapproach their policies' corresponding maturity dates, if any.Moody's anticipates that some policies might be at risk of lapsingassuming a continued rising cost of insurance and the potential forcontinued decreased mortality.

During the review period, Moody's will refine its analysis ofpotential policy lapses, and will evaluate the potential impact tocredit enhancement for the Class A and Class B Notes that wouldresult from such lapses.

Adequate Collateral Quality: The LFT 2016-A collateral poolcomprises secured and unsecured fixed rate personal loans and salesfinance contracts originated by the company based on itsunderwriting guidelines. The portfolio will also include renewedloans that will replace or refinance the existing loan. Additionaleligible loans will be added to the portfolio during the Revolvingperiod ending Jan. 31, 2018.

Sufficient Credit Enhancement: Credit enhancement (CE) is providedby overcollateralization (OC) and excess spread. The initial OC ofapproximately $20.65 million will be maintained for the life of thetransaction. Additionally, the class A notes will benefit fromsubordination provided by the class B and C notes, and the class Bnotes will benefit from subordination provided by the class Cnotes. In addition, trust performance and other triggers based oncredit and servicing risks are used to provide additionalprotection for investors should loan performance or certaincounterparties' financial conditions deteriorate (each an earlyamortization event). When an early amortization event occurs, theRevolving period will end and note amortization will begin.

Adequate Liquidity Support: A reserve account sized at $2 million,which equals 1% of the initial pool balance with a floor at 1% ofthe initial pool balance, will be funded at closing.

As Fitch's base case default proxy is derived primarily fromhistorical collateral performance, actual performance may differfrom the expected performance, resulting in higher loss levels thanthe base case. This will result in a decline in available CE, andthe remaining loss coverage levels available to the notes and maymake certain note ratings susceptible to potential negative ratingactions, depending on the extent of the decline in the coverage.Rating sensitivity results should only be considered as onepotential outcome, given that the transaction is exposed tomultiple dynamic risk factors. Rating sensitivity should not beused as an indicator of future rating performance.

Holding all other inputs constant, a 15% increase in base casedefaults resulted in a downgrade of at least three ratingcategories for the notes.

DUE DILIGENCE USAGE

Fitch was provided with due diligence information from KPMG LLP.The third-party due diligence focused on comparing the samplecharacteristics provided in the data file of 47,103 consumer loansto the corresponding information in the loan agreements.

Madison Park Funding VI Ltd. is a U.S. collateralized loanobligation (CLO) transaction that closed in September 2007 and ismanaged by Credit Suisse Alternative Capital LLC.

The rating actions follow S&P's review of the transaction'sperformance using data from the Jan. 15, 2016, trustee report.

The upgrades reflect $22.8 million in paydowns to the class A-1notes since S&P's February 2013 rating actions, which have reducedthe class's outstanding balance to 91.2% of its original balance.The transaction exited its reinvestment period in January 2015. Inaddition, the transaction has benefited from the underlyingportfolio's improved credit quality. As of the Jan. 15, 2016,trustee report, the transaction held $6.96 million in 'CCC' ratedassets, down from $21.41 million as of the Jan. 17, 2013, trusteereport, which S&P used its February 2013 analysis. Theseimprovements are also evident in the higher overcollateralizationratios for the class A/B, C, D, and E notes.

The affirmed ratings reflect S&P's belief that the credit supportavailable is commensurate with the current rating levels.

On the Jan. 26, 2016 payment date, the manager retained $7.17million in principal proceeds, which may be used to purchaseadditional collateral in accordance with its post-reinvestmentinvestment criteria.

As of the January 2016 trustee report, the balance of collateralwith a maturity date after the transaction's stated maturityrepresented 12.33% of the portfolio. A CLO concentrated inlong-dated assets like this could be exposed to market value riskat maturity because the collateral manager may have to sell theseassets for less than par to repay the CLO's subordinate rated noteswhen they mature. S&P's analysis accounted for the potential marketvalue and/or settlement-related risk arising from the potentialliquidation of the remaining securities on the transaction's legalfinal maturity date.

S&P's transaction review included a cash flow analysis, based onthe portfolio and transaction as reflected in the aforementionedtrustee report, to estimate future performance. In line with S&P'scriteria, its cash flow scenarios applied forward-lookingassumptions on the expected timing and pattern of defaults andrecoveries upon default under various interest rate andmacroeconomic scenarios. In addition, S&P's analysis considered thetransaction's ability to pay timely interest or ultimate principalto each of the rated tranches. The results of the cash flowanalysis demonstrated, in our view, that all of the ratedoutstanding classes have adequate credit enhancement available atthe rating levels associated with this rating action.

Standard & Poor's will continue to review whether, in its view, theratings assigned to the notes remain consistent with the creditenhancement available to support them and take rating actions as itdeems necessary.

(ii) The cash flow cushion is the excess of the tranche break- even default rate above the scenario default rate at the assigned rating for a given class of rated notes using the actual spread, coupon, and recovery.

RECOVERY RATE AND CORRELATION SENSITIVITY

In addition to its base-case analysis, S&P generated additionalscenarios in which it made negative adjustments of 10% to thecurrent collateral pool's recovery rates relative to each tranche'sweighted average recovery rate.

S&P also generated other scenarios by adjusting the intra- andinter-industry correlations to assess the current portfolio'ssensitivity to different correlation assumptions assuming thecorrelation scenarios outlined below.

The Class A Notes, the Class B Notes, the Class C Notes, the ClassD Notes and the Class E Notes are referred to herein, collectively,as the "Rated Notes."

Moody's issues provisional ratings in advance of the final sale offinancial instruments, but these ratings only represent Moody'spreliminary credit opinions. Upon a conclusive review of atransaction and associated documentation, Moody's will endeavor toassign definitive ratings. A definitive rating, if any, may differfrom a provisional rating.

RATINGS RATIONALE

Moody's provisional ratings of the Rated Notes address the expectedlosses posed to noteholders. The provisional ratings reflect therisks due to defaults on the underlying portfolio of assets, thetransaction's legal structure, and the characteristics of theunderlying assets.

Madison Park Funding XX, Ltd. is a managed cash flow CLO. Theissued notes will be collateralized primarily by broadly syndicatedfirst lien senior secured corporate loans. Subject to the cov-litematrix, at least 92.5% of the portfolio must consist of seniorsecured loans, and up to 7.5% of the portfolio may consist ofsecond lien loans or senior unsecured loans. Moody's expects theportfolio to be approximately 70% ramped as of the closing date.

Credit Suisse Asset Management, LLC (the "Manager") will direct theselection, acquisition and disposition of the assets on behalf ofthe Issuer and may engage in trading activity, includingdiscretionary trading, during the transaction's 4.75 yearreinvestment period. Thereafter, the Manager may reinvestunscheduled principal payments and proceeds from sales of creditrisk assets, subject to certain restrictions.

In addition to the Rated Notes, the Issuer will issue subordinatednotes.

The transaction incorporates interest and par coverage tests which,if triggered, divert interest and principal proceeds to pay downthe notes in order of seniority.

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in Section 2.3.2.1of the "Moody's Global Approach to Rating Collateralized LoanObligations" rating methodology published in December 2015.

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inDecember 2015.

Factors That Would Lead to an Upgrade or Downgrade of the Rating:

The performance of the Rated Notes is subject to uncertainty. Theperformance of the Rated Notes is sensitive to the performance ofthe underlying portfolio, which in turn depends on economic andcredit conditions that may change. The Manager's investmentdecisions and management of the transaction will also affect theperformance of the Rated Notes.

Together with the set of modeling assumptions above, Moody'sconducted an additional sensitivity analysis, which was a componentin determining the ratings assigned to the Rated Notes. Thissensitivity analysis includes increased default probabilityrelative to the base case.

Below is a summary of the impact of an increase in defaultprobability (expressed in terms of WARF level) on the Rated Notes(shown in terms of the number of notch difference versus thecurrent model output, whereby a negative difference corresponds tohigher expected losses), assuming that all other factors are heldequal:

MARATHON CLO IV: S&P Affirms BB Rating on Class D Debt------------------------------------------------------Standard & Poor's Ratings Services raised its ratings on the classA-2, B-1, and B-2 notes from Marathon CLO IV Ltd., a collateralizedloan obligation (CLO) transaction managed by Marathon AssetManagement L.P. At the same time, S&P affirmed its ratings on theclass A-1, C, and D notes from the same transaction.

Since S&P's effective date rating affirmations, the transaction'sreinvestment period ended and it entered its amortization phase.The upgrades reflect the increased credit support available to therated notes due to the $28.6 million paydown to the class A-1 notessince the end of the reinvestment period in May 2015.

Due to these paydowns, the transaction's credit support hasimproved via a higher overcollateralization (O/C) ratio for classA; however, the other O/C ratios have declined since the August2012 trustee report, which S&P used in its used effective dateaffirmations, in part due to an increase in the 'CCC' bucket. Inthe January 2016 trustee report, which S&P used for this review,the trustee reported the following O/C ratios:

The class A O/C ratio was 138.224%, compared with 136.808% in August 2012;

The class B O/C ratio was 123.311%, compared with 123.524% in August 2012;

The class C O/C ratio was 115.092%, compared with 116.065% in August 2012; and

The class D O/C ratio was 108.638%, compared with 110.137% in August 2012.

S&P said, "We affirmed our ratings on the class A-1, C, and D notesto reflect the available credit support consistent with the currentrating levels.

"Although the class B-1, B-2, C, and D notes' cash flow resultspoint to higher rating levels, we took into account thetransaction's significant exposure to the energy and commoditiessectors. As of the January 2016 trustee report the oil and gassector made up 6.65% of the portfolio and nonferrous metals/minerals made up 4.69%. In addition, 'CCC' rated assets make up10.3% of the underlying portfolio.

"Our review of this transaction included a cash flow analysis,based on the portfolio and transaction as reflected in theaforementioned trustee report, to estimate future performance. Inline with our criteria, our cash flow scenarios appliedforward-looking assumptions on the expected timing and pattern ofdefaults, and recoveries upon default, under various interest rateand macroeconomic scenarios. In addition, our analysis consideredthe transaction's ability to pay timely interest and/or ultimateprincipal to each of the rated tranches. The results of the cashflow analysis demonstrated, in our view, that all of the ratedoutstanding classes have adequate credit enhancement available at the rating levels associated with thisrating action."

Standard & Poor's will continue to review whether, in its view, theratings assigned to the notes remain consistent with the creditenhancement available to support them and take rating actions as itdeems necessary.

(ii) The cash flow cushion is the excess of the tranche break- even default rate above the scenario default rate at the assigned rating for a given class of rated notes using the actual spread, coupon, and recovery.

RECOVERY RATE AND CORRELATION SENSITIVITY

In addition to its base-case analysis, S&P generated additionalscenarios in which it made negative adjustments of 10% to thecurrent collateral pool's recovery rates relative to each tranche'sweighted average recovery rate.

S&P also generated other scenarios by adjusting the intra- andinter-industry correlations to assess the current portfolio'ssensitivity to different correlation assumptions assuming thecorrelation scenarios outlined below.

The ratings on two P&I classes, Class C and D, were were affirmedbecause the transaction's key metrics, including Moody'sloan-to-value (LTV) ratio, Moody's stressed debt service coverageratio (DSCR) and the transaction's Herfindahl Index (Herf), arewithin acceptable ranges.

The rating on three P&I classes, Class E, F and G, were affirmedbecause the ratings are consistent with Moody's expected loss.

The rating on the IO Class, Class X, was downgraded due to theuncertainty of future interest payments based on the fact that allof its referenced classes have an interest rate equal to theweighted average coupon of the pool.

Moody's rating action reflects a base expected loss of 34% of thecurrent balance compared to 13% at Moody's last review. The dealhas paid down 56% from the the last review and Moody's baseexpected loss plus realized losses is now 6.9% of the originalpooled balance, compared to 6.7% at the last review. Moody'sprovides a current list of base expected losses for conduit andfusion CMBS transactions on moodys.com athttp://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

Moody's analysis incorporated a loss and recovery approach inrating the P&I classes in this deal since 51% of the pool is inspecial servicing. In this approach, Moody's determines aprobability of default for each specially serviced and troubledloan that it expects will generate a loss and estimates a lossgiven default based on a review of broker's opinions of value (ifavailable), other information from the special servicer, availablemarket data and Moody's internal data. The loss given default foreach loan also takes into consideration repayment of serviceradvances to date, estimated future advances and closing costs.Translating the probability of default and loss given default intoan expected loss estimate, Moody's then applies the aggregate lossfrom specially serviced loans to the most junior classes and therecovery as a pay down of principal to the most senior classes.

DESCRIPTION OF MODELS USED

Moody's review used the excel-based Large Loan Model. The largeloan model derives credit enhancement levels based on anaggregation of adjusted loan-level proceeds derived from Moody'sloan-level LTV ratios. Major adjustments to determining proceedsinclude leverage, loan structure, property type and sponsorship.Moody's also further adjusts these aggregated proceeds for anypooling benefits associated with loan level diversity and otherconcentrations and correlations.

DEAL PERFORMANCE

As of the February 12, 2016 distribution date, the transaction'saggregate certificate balance has decreased by 95% to $153.3million from $3.1 billion at securitization. The certificates arecollateralized by 10 mortgage loans ranging in size from less than2% to 27% of the pool. One loan, constituting 16% of the pool, hasan investment-grade structured credit assessment.

Two loans, constituting 32% of the pool, are on the masterservicer's watchlist. The watchlist includes loans that meetcertain portfolio review guidelines established as part of the CREFinance Council (CREFC) monthly reporting package. As part ofMoody's ongoing monitoring of a transaction, the agency reviews thewatchlist to assess which loans have material issues that couldaffect performance.

Twenty-six loans have been liquidated from the pool, contributingto an aggregate realized loss of $161 million (for an average lossseverity of 35%). Six loans, constituting 51% of the pool, arecurrently in special servicing.

The largest specially serviced loan is the EDS Portfolio Loan ($42million -- 27% of the pool), which is secured by three officeproperties totaling 388,000 square feet. The properties are locatedin East Pennsboro, Pennsylvania; Auburn Hills, Michigan; and RanchoCordova, California. The loan transferred to special servicing inJune 2015 for imminent maturity default due to upcoming leaseexpiration dates. The properties were occupied by a single tenant,Electronic Data Systems Corp., until the tenant vacated at thelease expiration in September 2015. The three properties are nowfully vacant. The servicer is in discussions with the borrowerregarding consensual title conveyance including foreclosure.

The remaining five specially serviced loans are secured by retailproperties. Moody's estimates an aggregate $50 million loss for thespecially serviced loans (64% expected loss on average). Moody'shas assumed a high default probability for one poorly performingloan, constituting 9% of the pool, and has estimated an aggregateloss of $2 million (a 15% expected loss based on a 50% probabilitydefault) from the troubled loan.

The loan with a structured credit assessment is the Blue CrossBuilding 31 Loan ($24 million -- 16% of the pool), which is securedby two adjacent office properties totaling 517,000 square feet,located in Richardson, Texas. The builidngs are 100% leased to BlueCross and Blue Shield of Texas through December 31, 2020. Moody'sused a lit/dark approach to account for the single-tenant exposurewhen assessing the loan's credit quality. Moody's structured creditassessment and stressed DSCR are a3 (sca.pd) and 1.58X. Moody'sactual DSCR is based on Moody's NCF and the loan's actual debtservice. Moody's stressed DSCR is based on Moody's NCF and a 9.25%stress rate the agency applied to the loan balance.

There are three additional performing loans in the pool. Thelargest performing loan is the Fresh Direct Warehouse Loan ($36million -- 23% of the pool), which is secured by a 283,000 squarefoot warehouse property in Long Island City, New York. The propertyis just under 100% leased to an entity controlled by Fresh Direct,the online grocer. The property serves as a headquarters anddistribution facility for the company. The loan matured in December2015 and as of the latest remittance statement the loan was beingheld with the master servicer per the forbearance agreement.Moody's does not expect a loss on this loan.

The second largest performing loan is the Green Valley TechnicalPlaza 33 Loan ($13.2 million -- 9% of the pool), which is securedby a 108,300 SF suburban office building in Fairfield, California.The loan passed its anticipated repayment date (ARD) in October2015 and is currently on the watchlist for low occupancy and DSCR.The property was only 49% leased as of September 2015. Moody's hasrecognized this as a troubled loan.

The third largest performing loan is the Deer Park Loan ($2.5million -- 1.7% of the pool), which is secured by an 84 unit seniorhousing multifamily property in Novato, California approximately 30miles north of San Francisco. The property offers studio, one andtwo bedroom apartments in a variety of floor plans while operatingon month-to-month leases. The loan is fully amortizing and maturesin September 2020. Moody's LTV and stressed DSCR are 16% and>4.00X, respectively, compared to 17% and >4.00X at priorreview.

The ratings on five P&I classes were affirmed because the ratingsare consistent with Moody's expected loss.

The rating on the IO class was downgraded due to the decline in thecredit performance of its reference classes resulting fromprincipal paydowns of higher quality reference classes.

Moody's rating action reflects a base expected loss of 51.9% of thecurrent balance, compared to 6.3% at Moody's last review. The dealhas paid down 92% since the prior review and Moody's base expectedloss plus realized losses is now 4.8% of the original pooledbalance, compared to 5.9% at the last review.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

METHODOLOGY UNDERLYING THE RATING ACTION

The principal methodology used in these ratings was "Moody'sApproach to Rating Large Loan and Single Asset/Single BorrowerCMBS" published in October 2015.

Moody's analysis incorporated a loss and recovery approach inrating the P&I classes in this deal since 85.5% of the pool is inspecial servicing and Moody's has identified one troubled loanrepresenting 14% of the pool. In this approach, Moody's determinesa probability of default for each specially serviced loan that itexpects will generate a loss and estimates a loss given defaultbased on a review of broker's opinions of value (if available),other information from the special servicer, available market dataand Moody's internal data. The loss given default for each loanalso takes into consideration repayment of servicer advances todate, estimated future advances and closing costs. Translating theprobability of default and loss given default into an expected lossestimate, Moody's then applies the aggregate loss from speciallyserviced loans to the most junior classes and the recovery as a paydown of principal to the most senior classes.

DESCRIPTION OF MODELS USED

Moody's review used the excel-based Large Loan Model. The largeloan model derives credit enhancement levels based on anaggregation of adjusted loan-level proceeds derived from Moody'sloan-level LTV ratios. Major adjustments to determining proceedsinclude leverage, loan structure, property type and sponsorship.Moody's also further adjusts these aggregated proceeds for anypooling benefits associated with loan level diversity and otherconcentrations and correlations.

DEAL PERFORMANCE

As of the Feb. 12, 2016, distribution date, the transaction'saggregate certificate balance has decreased by 96% to $58 millionfrom $1.55 billion at securitization. The certificates arecollateralized by 10 mortgage loans ranging in size from less than1% to 20% of the pool.

Twenty-three loans have been liquidated from the pool, resulting inan aggregate realized loss of approximately $44 million (for anaverage loss severity of 33%). Eight loans, constituting 85.5% ofthe pool, are currently in special servicing.

The largest specially serviced loan is the Stirling Town Center($11.4 million -- 19.7% of the pool), which is secured by a 55,000square foot (SF) Walgreens shadow anchored retail property locatedin Cooper City, FL, approximately 15 miles west of Fort Lauderdale. The property comprises four buildings with 30 tenant bays rangingin size from 780 SF to 7,900 SF of the gross leasable area (GLA). The loan transferred to special servicing in 2011 for delinquentpayments and became REO in 2014. As of Sept. 2015, the propertywas 92% leased.

The two performing loans represent approximately 14% of the poolbalance. The largest loan is the DRS Tactical Systems OfficeBuilding Loan ($8.3 million -- 14% of the pool), which is securedby a 105,000 SF, single tenant, office property in Melbourne,Florida. DRS Tactical Systems did not renewed their lease atexpiration on Jan. 31, 2016, and the property is currently vacant.The loan has passed its anticipated repayment date in January 2016and is currently on the master servicer's watchlist. Due to thevacancy, Moody's has identified this loan as a troubled loan.

The other performing loan is the Kenmore Storefront Building Loan($110,772 -- less than 0.5% of the pool), which is secured by aretail property located in Kenmore, Washington, 20 miles northeastof Seattle. The property was 100% occupied as of September 2015and has amortized 89% since securitization. Performance remainsstable. Moody's LTV and stressed DSCR are 5% and >4.00X,respectively, compared to 7% and >4.00X at the last review.Moody's actual DSCR is based on Moody's NCF and the loan's actualdebt service. Moody's stressed DSCR is based on Moody's NCF and a9.25% stress rate the agency applied to the loan balance.

The downgrades are primarily due to the poor quality of theremaining collateral as a result of adverse selection of the pool.The transaction has experienced significant paydown since August2015 as performing loans paid off at maturity. As such, thetransaction has become highly concentrated with only 29 loansremaining, 21 of which (84.9% of the remaining pool) have beenidentified as Fitch loans of concern either due to performanceissues or maturity default risks. Fitch has modeled total lossesof 9.5% on the original pool balance, including realized losses of$96.7 million (4.5% of the original pool balance).

As of the February 2016 distribution date, the pool's aggregateprincipal balance has been reduced by 90.4% to $204.8 million from$2.14 billion at issuance and 82.1% from $1.14 billion at lastreview. Fifteen loans (65.3%) are currently in special servicing,including 10 (56.9%) of the top 15 loans. Interest shortfallstotaling $10.9 million are currently affecting class B and below.

The largest contributor to expected losses is the largest loan inthe pool (18.1%) which is secured by a 394,578 square foot (sf)office property located in Hyattsville, MD. The property is 99%occupied by U.S. Department of Treasury (GSA) with lease expiringin April 2016. The other tenant (1%) is a cafeteria whose leaseterms are reliant on the GSA lease. The loan was most recentlytransferred to special servicing in November 2015 due to imminentmaturity default. The loan matured in December 2015 and was notpaid off. The borrower has had difficulty obtaining refinance asthe GSA tenant intends to vacate by May 2017 and relocate to anearby property. The Borrower and the GSA tenant are currently innegotiations for a one year lease extension. The special serviceris pursuing foreclosure. The as-is value of the property based onfull vacancy indicates significant losses on the loan.

The second largest contributor to expected losses is the secondlargest loan in the pool (10.9%) which is secured by a 170,796 sf,Class-B, retail center located in Reno, NV. The property became areal estate owned asset (REO) in June 2015 due to foreclosure. Theproperty is shadow-anchored by Costco Wholesale (not part of thecollateral). Currently the property is only 55% occupied, comparedto 95.5% at issuance. The servicer is working to stabilize theproperty through leasing up activities.

The third largest contributor to expected losses is the fourthlargest loan in the pool (5.8%) which is secured by a 130,000 sfretail center located in Norcross, GA. The property became a REOasset in May 2014 due to foreclosure. The property's anchor isgrocer, Kroger (48% of the property with lease expiring in 2022).The property occupancy rate has improved significantly sincebecoming REO. The property is currently 94% occupied compared to78% at June 2014. The special servicer is looking to renewadditional leases and will subsequently determine the timing of adisposition.

RATING SENSITIVITIES

The Negative Outlooks indicate that future downgrades are possibleshould more loans transfer to special servicing, and/or losses onthe specially serviced assets exceed expectations. In addition,the distressed classes (rated below 'B') may be subject to furtherrating actions as losses are realized.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relationto this rating action.

The affirmations reflect stable performance since the last ratingaction with 41.9% of the pool (six loans) defeased according toservicer reporting. The pool has experienced $28.3 million (2.7%of the original pool balance) in realized losses to date.

As of the February 2016 distribution date, the pool's aggregateprincipal balance has been reduced by 97.3% to $28.2 million from$1.06 billion at issuance. The second largest loan (13.3% of pool)is defeased and matures in June 2016, 2% matures in 2017, and 60.4%matures in 2018. Interest shortfalls are currently affectingclasses L through N.

The largest loan in the pool is a retail center in Pleasant Hill,CA. The property has been 100% occupied for the last several yearsand is anchored by Staples (29.1% net rentable area [NRA],expiration Oct. 2016), Rite Aid (23.5% NRA, expiration Nov. 2016),and Smart & Final (17.5% NRA, expiration Nov. 2016). Per theborrower, both Staples and Smart & Final plan on staying at theproperty. Currently, Rite Aid has not provided notice of renewalbut has until May to confirm. The debt service coverage ratio(DSCR) was stable at 1.76x as of YE 2015. The loan is scheduled tomature in 2018.

Eight of the remaining nine non-defeased loans (53.4% of the pool)are represented by retail properties. A portion of the retailexposure consists of five single-tenant drug store assets (7.0% ofthe pool) including one Walgreens and four CVS stores, all locatedin secondary or tertiary markets.

RATING SENSITIVITIES

Classes J and K are expected to remain stable due to high creditenhancement and continued expected paydown. Downgrades are notexpected on classes J and K, as the performance of the remainingpool has been stable with no loans in special servicing. Upgradesare not expected to class K as the pool has become concentrated. Inaddition, class L, which has previously taken losses, should besufficient to absorb potential losses.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relationto this rating action.

The rating on the P&I class was affirmed because the transaction'skey metrics, including Moody's loan-to-value (LTV) ratio, Moody'sstressed debt service coverage ratio (DSCR) and the transaction'sHerfindahl Index (Herf), are within acceptable ranges.

The upgrade reflects increased credit enhancement as a result ofbetter recoveries than previously modeled from the liquidation ofthe remaining specially serviced assets in the pool since Fitch'slast rating action. The downgrades reflect realized losses to thoseclasses, which were reflected in the January remittance.

Since Fitch's last rating action, six specially serviced assets,which included a modified A/B note, were resolved and liquidatedresulting in total losses of $26 million. Since issuance, realizedlosses for the transaction were $83.7 million (5.5% of the originalpool balance).

As of the February 2016 distribution date, the pool's aggregateprincipal balance has been reduced by 99% to $17.2 million from$1.52 billion at issuance. Of the original 89 loans, the pool isconcentrated with only three loans remaining, all of which aresponsored by Government Properties Trust (GPT). Cumulative interestshortfalls totaling $2.7 million are currently impacting classes Jand K and classes N through Q.

The remaining GPT loans in the pool are secured by three officeproperties totaling 100,300 square feet located in Baton Rouge, LA,Charleston, SC, and Bakersfield, CA. The properties are each fullyoccupied by the General Services Administration (GSA). The loansmature in March 2020.

The Baton Rouge property is occupied by the Federal Court House ona lease until July 2019. The Charleston property is occupied by theDepartment of Veteran Affairs - VA Clinic on a lease until June2019. The Bakersfield property is occupied by The Drug EnforcementAgency on a lease until March 2021; however, the tenant has theoption to terminate its lease beginning April 2016 by providing atleast a 90-day notice.

RATING SENSITIVITIES

Fitch revised the Rating Outlook on class F to Stable from Negativedue to the senior payment priority in the capital structure, thestable performance of the remaining loans, and expected continuedpaydown. A further upgrade was not warranted due to the binary riskassociated with the GSA single-tenancy at each of the remainingproperties, as well as the single tenant at each of the propertieseither having a lease expiring prior to loan maturity or having theoption to terminate its lease prior to loan maturity. A downgradeis unlikely unless occupancy or cash flow deterioratessignificantly.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relationto this rating action.

Fitch has upgraded and revised Rating Outlook to the followingclass:

-- $5.7 million class F to 'BBsf' from 'Bsf'; Outlook to Stable from Negative.

NATIONAL COLLEGIATE: S&P Ratings on 18 Classes Still on Watch Pos-----------------------------------------------------------------Standard & Poor's Ratings Services stated that its ratings on 18classes from 13 National Collegiate Student Loan Trust transactionsissued between 2004 and 2007 remain on CreditWatch with positiveimplications.

On Aug. 28, 2015, S&P placed these ratings on CreditWatch withpositive implications following the publication of our criteria foranalyzing transactions subject to payment priority changes upon anonmonetary event of default (EOD; see "Methodology: Criteria ForGlobal Structured Finance Transactions Subject To A Change InPayment Priorities Or Sale Of Collateral Upon A Nonmonetary EOD,"published March 2, 2015). Six of the classes that were previouslyplaced on CreditWatch have been paid in full, so S&P alreadydiscontinued those ratings before the current CreditWatchextension. In order to resolve the CreditWatch placements, S&P isreviewing additional information from key transaction parties to supplement its operational riskassessment and to enhance its view on the likelihood of a paymentpriority change upon a non-monetary event of default.

Standard & Poor's will continue to evaluate the potential impact ofthe available credit enhancement in these transactions relative toS&P's ratings and the additional information received. S&P willtake ratings actions once it has completed its review.

NATIONS EQUIPMENT 2016-1: Moody's Rates Class C Notes 'Ba2'-----------------------------------------------------------Moody's has assigned definitive ratings to the Equipment ContractBacked Notes, Series 2016-1 issued by Nations Equipment FinanceFunding III, LLC. The transaction is a securitization of equipmentloans and leases sponsored by Nations Equipment Finance, LLC (NR,NEF), which will also act as the servicer. The issuer, NationsEquipment Finance Funding III, LLC is a wholly-owned subsidiary ofNEF Holdings, LLC. an affiliate of the servicer. The equipmentloans and leases were originated by Nations Fund I, LLC (theoriginator), a subsidiary of the transferor, and are backed bycollateral including trailers, trucks and various types ofconstruction and manufacturing equipment.

Credit enhancement to the notes includes (i) initialovercollateralization of 11.0%, which is expected to grow with timeas the notes pay down, (ii) annual excess spread of approximately3.0%, (iii) a non-declining reserve account funded at 1.5% of theinitial collateral balance, and (iv) subordination in the case ofthe Class A and Class B notes (12.0% and 5.5%, respectively).

The definitive rating for the Class B notes, Baa3 (sf), is onenotch lower than its provisional rating, (p) Baa2 (sf). Thisdifference is a result of the transaction closing with a materiallyhigher weighted average cost of funds (WAC) than Moody's modeledwhen the provisional ratings were assigned. The WAC assumptions,as well as other structural features, were provided by the issuer.

The pool consists of 128 contracts with 62 unique obligors and aninitial balance of $170,190,781. The average contract balance is$1,329,615. The weighted average original and remaining terms tomaturity are 58 and 47 months, respectively. The largest obligoris 6.7% of the initial pool balance and the top five obligorscomprise 24.4% of the initial pool balance. Nearly all of thecontracts in this deal are fixed interest rate and monthly pay.

PRINCIPAL METHODOLOGY

The principal methodology used in these ratings was "Moody'sApproach to Rating ABS Backed by Equipment Leases and Loans"published in December 2015.

Factors that would lead to an upgrade or downgrade of the ratings:

Up

Moody's could upgrade the ratings on the notes if levels of creditprotection are greater than necessary to protect investors againstcurrent expectations of loss. Moody's updated expectations of lossmay be better than its original expectations because of lowerfrequency of default by the underlying obligors or appreciation inthe value of the equipment that secure the obligor's promise ofpayment. As the primary drivers of performance, positive changesin the US macro economy and the performance of various sectorswhere the lessees operate could also affect the ratings.

Down

Moody's could downgrade the ratings of the notes if levels ofcredit protection are insufficient to protect investors againstcurrent expectations of loss. Moody's updated expectations of lossmay be worse than its original expectations because of higherfrequency of default by the underlying obligors of the contracts ora greater than expected deterioration in the value of the equipmentthat secure the obligor's promise of payment. As the primarydrivers of performance, negative changes in the US macro economycould also affect Moody's ratings. Other reasons for worseperformance than Moody's expectations could include poor servicing,error on the part of transaction parties, lack of transactionalgovernance and fraud.

The certificates are backed by one pool of inactive HECM reversefirst-lien mortgage loans. The collateral pool is comprised of1,085 mortgage loans. The servicer for the deal is NationstarMortgage LLC. The complete rating actions are:

The collateral in Nationstar HECM Loan Trust 2016-1 consists offirst-lien inactive home equity conversion reverse mortgage loans(HECMs) covered by Federal Housing Administration (FHA) insurancesecured by properties in the US along with real estate owned (REO)properties acquired through conversion of ownership of reversemortgage loans that are covered by FHA insurance. Nationstaracquired the mortgage assets from Ginnie Mae sponsored HECMmortgage backed (HMBS) securitizations. All of the mortgage assetsare covered by FHA insurance for the repayment of principal up tocertain amounts. If a borrower or their estate fails to pay theamount due upon maturity or otherwise defaults, sale of theproperty is used to recover the amount owed.

There are 1,085 mortgage assets with a balance of approximately$302,891,615. Loans are in either default, due and payable,foreclosure or REO status. Loans that are in default may move todue and payable; due and payable loans may move to foreclosure; andforeclosure loans may move to REO. Of the mortgage assets indefault (10.1% of total pool), 8.5% are in default due tonon-occupancy, 88.3% are in default due taxes and insurance and3.2% are in default for other reasons. 12.3% of the mortgage assetsare due and payable. 63.0% of the mortgage assets are inforeclosure. Finally, 14.6% of the mortgage assets are REO and wereacquired through foreclosure or deed-in-lieu of foreclosure on theassociated loan. The pool includes 884 loans with an aggregatebalance of approximately $258,699,537 and 201 REO properties withan aggregate balance of approximately $44,192,078. If the value ofthe related mortgaged property is greater than the loan amount,some of these loans may be settled by the borrower or theirestate.

Transaction Structure

The securitization has a sequential liability structure amongstthree classes of notes with overcollateralization. All fundscollected, prior to an acceleration event, are used to makeinterest payments to the notes, then principal payments to theClass A notes, then to a redemption account until the amount ondeposit in the redemption account is sufficient to cover futureprincipal and interest payments for the subordinate notes up totheir mandatory call dates. The subordinate notes will not receiveprincipal until the beginning of their target amortization periods(in the absence of an acceleration event). The notes also benefitfrom overcollateralization as credit enhancement and an interestreserve account funded with cash received from the initialpurchasers of the notes for liquidity and credit enhancement.

The transaction is callable on or after six months with a 1%premium and on or after 12 months without a premium. The mandatorycall date for the Class A notes is in February 2018. For the ClassM1 notes, the mandatory call date is in August 2018. Finally, forthe Class M2 notes, the mandatory call date is in February 2019. For each of the subordinate notes, there are six month targetamortization periods that conclude on the respective mandatory calldates. The legal final maturity of the transaction is 10 years.

Available funds to the transaction are expected to come from theliquidation of REO properties and receipt of FHA insurance claims.These funds will be received with irregular timing. In the eventthat there are not adequate funds to pay interest in a givenperiod, the interest reserve fund may be utilized. Additionally,any shortage in interest will be classified as an available fundscap shortfall. These available funds cap carryover amounts willhave priority of payments in the waterfall and will also accrueinterest at the respective note rate.

Certain aspects of the waterfall are dependent upon Nationstarremaining as servicer. Servicing fees and servicer relatedreimbursements are subordinated to interest and principal paymentswhile Nationstar is servicer. However, servicing advances willinstead have priority over interest and principal payments in theevent that Nationstar defaults. Also, while Nationstar is requiredto pay to the trust any debenture interest due, a replacementservicer will only remit debenture interest actually received.

Third-Party Review

A third party firm conducted a review of certain characteristics ofthe mortgage assets on behalf of Nationstar. The review focused ondata integrity, presence of FHA insurance coverage, accuraterecordation of appraisals, accurate recording of occupancy status,borrower age documentation, identification of non-borrower spouses,identification of excessive corporate advances, and identificationof tax liens with first priority in Texas. Also, broker priceopinions (BPOs) were ordered for 176 properties for appraisals thatwere over one year old.Reps & Warranties (R&W)

Nationstar is the loan-level R&W provider and is rated B2 (Stable)and thus relatively weak from a credit perspective. Given thenascent nature of their securitization program, Moody's has limitedinsight as to their ability to serve in this capacity. This risk ismitigated by the fact that Nationstar is the equity holder in thetransaction and there is therefore a significant alignment ofinterests. Another factor mitigating this risk is that athird-party due diligence firm conducted a review on the loans forevidence of FHA insurance.

Nationstar represents that the mortgage loans are covered by FHAinsurance that is in full force and effect. Nationstar providesfurther R&Ws including those for title, first lien position,enforceability of the lien, and the condition of the property.Although Nationstar provides a no fraud R&W covering theorigination of the mortgage loans, determination of value of themortgaged properties, and the sale and servicing of the mortgageloans, the no fraud R&W is qualified and is made only as to theinitial mortgage loans. Aside from the no fraud R&W, Nationstardoes not provide any other R&W in connection with the originationof the mortgage loans, including whether the mortgage loans wereoriginated in compliance with applicable federal, state and locallaws.

Upon the identification of a breach in R&W, Nationstar has to curethe breach. If Nationstar is unable to cure the breach, Nationstarmust repurchase the loan within 90 days from receiving thenotification. Moody's believes the absence of an independent thirdparty reviewer who can identify any breaches to the R&W makes theenforcement mechanism weak in this transaction.

Trustee & Master Servicer

The acquisition and owner trustee for the NHLT 2016-1 transactionis Wilmington Savings Fund Society, FSB. The paying agent and cashmanagement functions will be performed by Citibank, N.A.

Factors that would lead to an upgrade or downgrade of the rating:

Up

Levels of credit protection that are higher than necessary toprotect investors against current expectations of stress coulddrive the ratings up. Transaction performance depends greatly onthe US macro economy and housing market. Property markets couldimprove from our original expectations resulting in appreciation inthe value of the mortgaged property and faster property sales.

Down

Levels of credit protection that are insufficient to protectinvestors against current expectations of stresses could drive theratings down. Transaction performance depends greatly on the USmacro economy and housing market. Property markets coulddeteriorate from our original expectations resulting indepreciation in the value of the mortgaged property and slowerproperty sales.

Methodology

The methodologies used in these ratings were "Moody's Approach toRating Securitizations Backed by Non-performing Loans," publishedin July 2014 and "Moody's Global Approach to Rating ReverseMortgage Securitizations," published in May 2015.

Moody's quantitative asset analysis was based on a loan-by-loanmodeling of expected payout amounts given the structure of FHAinsurance and with various stresses applied to model parametersdepending on the target rating level.

FHA insurance claim types: Funds come into the transactionprimarily through the sale of REO property and through FHAinsurance claim receipts. There are uncertainties related to theextent and timing of insurance proceeds received by the trust dueto the mechanics of the FHA insurance. Specifically, the amount ofinsurance proceeds received depends on whether a sales based claim(SBC) or appraisal based claim (ABC) is filed.

If the property is sold within six months of the receipt ofmarketable title, the claim is for the unpaid principal balance(UPB) minus net sales proceeds. This is a SBC. If the REOproperty has not been sold by the end of six months after receiptof marketable title, the servicer must file an ABC for the UPBminus the most recent appraisal. An additional claim will be filedwith the FHA for allowable foreclosure costs, debenture interest,mortgage insurance premiums, and escrow advances.

ABCs are expected to have higher levels of losses than SBCs. Thefact that there is a delay in the sale of the property usuallyimplies some adverse characteristics associated with the property.FHA insurance will not protect against losses to the extent that anABC property is sold at a price lower than the appraisal valuetaken at the six month mark of REO. Additionally, ABCs do notcover the cost to sell properties (broker fees) while SBCs do coverthese costs. For SBCs, broker fees are reimbursable up to 6%ordinarily. Moody's base case expectation of 13.5% losses on ABCsis based on the historical experience of Nationstar. Moody'sstressed these losses at higher credit rating levels.

In our asset analysis, we also assumed there would be some lossesfor SBCs, albeit at lower levels. With an SBC, FHA insurance willonly protect against losses to the extent that the REO property issold at 95% of the latest appraised value or greater (and claimamounts are lower than the MCA). Sales at prices below this levelwill suffer losses. Based on historical performance, Moody'sassumed that SBCs would suffer 1% losses in the base case scenario. Moody's stressed these losses at higher rating levels.

Under Moody's analytical approach, each loan is modeled to gothrough both the ABC and SBC process with a certain probability.Each loan will thus have both of the sales disposition payments andassociated insurance payments (four payments in total). Allpayments are then probability weighted and run through a modeledliability structure. Based on the historical experience ofNationstar, for the base case scenario we assumed that 85% ofclaims would be SBCs and the rest would be ABCs. Moody's stressedthis assumption and assumed higher ABC percentages for higherrating levels.

Liquidation process: Each mortgage asset is categorized into one offour categories: default, due and payable, foreclosure and REO. Theloans are assumed to move through each of these stages until beingsold out of REO. Depending on the reason for default, a loan maybe in default status for one to six months. Due and payable statusis expected to last six to twelve months. Foreclosure status isbased on the state in which that the related property is locatedand is further stressed at higher rating levels. The base caseforeclosure timeline is based on FHA timeline guidance. REOdisposition is assumed to take place in six months with respect tosales based claims and twelve months with respect to appraisalbased claims.

Debenture interest: The receipt of debenture interest is dependentupon performance of certain actions within certain timelines by theservicer. If these timeline and performance benchmarks are not metby the servicer, debenture interest is subject to curtailment. Moody's base case assumption is that all debenture interest will bereceived. This is also based on the historical experience ofNationstar. Moody's stressed the amount of debenture interest thatwill be received at higher rating levels.

Additional model features: Moody's incorporated certain additionalconsiderations into our analysis, including the following:In most cases, the most recent appraisal value was used as theproperty value in our analysis. However, for seasoned appraisalswe applied a 15% haircut to account for potential home pricedepreciation between the time of the appraisal and the cut-offdate.

Mortgage loans with significant positive equity are likely to bebought out of the trust or otherwise cured and therefore will nottransition to REO status. Moody's estimated which loans would bebought out of the trust by comparing each loans' appraisal value(post haircut) to its UPB.

Moody's assumed that foreclosure costs will average $4,500 perloan, two thirds of which will be reimbursed by the FHA.

Moody's ran additional stress scenarios that were designed to mimicexpected cash flows in the case where Nationstar was no longer theservicer. Moody's assumes these in the situation where Nationstaris no longer the servicer:

a. Foreclosure Costs and servicing fees: Nationstar subordinates

their collection of FCL cost collections (from insurance claim) and servicing fees and advances (effectively also from

insurance claim). A replacement servicer will not subordinate these.

b. Nationstar also indemnifies the trust for lost debenture interest. A replacement servicer may not do this.

c. A replacement servicer may require an additional fee and thus

Moody's assumes a 25bps strip will take effect if the servicer changes.

d. One third of foreclosure costs may be removed from sales proceeds to reimburse replacement servicer. This is typically in the order of $1,500.

The Class X Notes, the Class A Notes, the Class B Notes, the ClassC Notes, the Class D Notes and the Class E Notes, are referred toherein, collectively, as the "Rated Notes."

Moody's issues provisional ratings in advance of the final sale offinancial instruments, but these ratings only represent Moody'spreliminary credit opinions. Upon a conclusive review of atransaction and associated documentation, Moody's will endeavor toassign definitive ratings. A definitive rating, if any, may differfrom a provisional rating.

RATINGS RATIONALE

Moody's provisional ratings of the Rated Notes address the expectedlosses posed to noteholders. The provisional ratings reflect therisks due to defaults on the underlying portfolio of assets, thetransaction's legal structure, and the characteristics of theunderlying assets.

Neuberger Berman CLO XXI, Ltd. is a managed cash flow CLO. Theissued notes and loans will be collateralized primarily by broadlysyndicated first-lien senior secured corporate loans. At least 96%of the portfolio must consist of senior secured loans and eligibleinvestments, and up to 4% of the portfolio may consist of secondlien loans and unsecured loans. The underlying portfolio isexpected to be approximately 70% ramped as of the closing date.

Neuberger Berman Investment Advisers LLC (the "Manager") willdirect the selection, acquisition and disposition of the assets onbehalf of the Issuer and may engage in trading activity, includingdiscretionary trading, during the transaction's four yearreinvestment period. Thereafter, the Manager may purchaseadditional collateral using principal proceeds from prepayments andsales of credit risk obligations, subject to certain conditions.

In addition to the Rated Notes, the Issuer will issue subordinatedfee notes and subordinated notes. The transaction incorporatesinterest and par coverage tests which, if triggered, divertinterest and principal proceeds to pay down the notes in order ofseniority.

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in Section 2.3.2.1of the "Moody's Global Approach to Rating Collateralized LoanObligations" rating methodology published in December 2015.

For modeling purposes, Moody's used the following base-caseassumptions:

The note issuance is a collateralized loan obligation transactionbacked by a revolving pool consisting primarily of broadlysyndicated senior secured loans.

The preliminary ratings are based on information as of Feb. 18,2016. Subsequent information may result in the assignment of finalratings that differ from the preliminary ratings.

The preliminary ratings reflect:

-- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes.

-- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria. The transaction's legal structure, which is expected to be bankruptcy remote.

-- The transaction's ability to make timely interest and ultimate principal payments on the preliminary rated notes, which S&P assessed using its cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.6206%-12.5967%.

-- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the rated notes' outstanding balance.

-- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of a certain amount of excess interest proceeds, that are available before paying uncapped administrative expenses and fees; subordinated hedge termination payments; collateral manager incentive fees; and subordinated note payments, to principal proceeds to purchase additional collateral assets during the reinvestment period.

Moody's has upgraded the rating of one class of notes due to thecombination of the high recoveries on sales of high credit riskassets; positive credit migration within the underlying collateralpool; the current distribution of near-term maturity assets; andthe redistribution of interest as principal due to the failure ofcertain par value tests. This more than offset the reduction inWARR. The rating action is the result of Moody's on-goingsurveillance of commercial real estate collateralized debtobligation (CRE CDO and Re-Remic) transactions.

Newcastle CDO VI is a static cash transaction backed by a portfolioof: i) commercial mortgage backed securities (CMBS) including rakebonds (81.8% of the current collateral pool balance); and ii)residential mortgage backed securities, primarily in the form ofsub-prime certificates, (RMBS) (18.2%). As of the January 19, 2016trustee report, the aggregate note balance of the transaction,including preferred shares, has decreased to $214.4 million from$500.0 million at issuance, with the paydown directed to the seniormost outstanding class of notes, as a result of the combination ofregular amortization and interest proceeds re-diverted as principaldue to failure of certain par value tests.

The pool contains ten assets totaling $33.8 million (49.2% of thecollateral pool balance) that are listed as defaulted securities asof the January 19, 2016 trustee report. Four of these assets (68.2%of the defaulted balance) are CMBS; and six (31.8%) are RMBS.Moody's does expect significant losses to occur from thesedefaulted securities once they are realized.

Moody's has identified the following as key indicators of theexpected loss in CRE CDO transactions: the weighted average ratingfactor (WARF), the weighted average life (WAL), the weightedaverage recovery rate (WARR), and Moody's asset correlation (MAC).Moody's typically models these as actual parameters for staticdeals and as covenants for managed deals.

WARF is a primary measure of the credit quality of a CRE CDO pool.Moody's has updated its assessments for the collateral it does notrate. The rating agency modeled a bottom-dollar WARF of 4944,compared to 5824 at last review. The current distribution ofMoody's rated collateral and assessments for non-Moody's ratedcollateral is as follows: Aaa-Aa3 and 5.8% compared to 12.7% atlast review, A1-A3 and 22.9% compared to 0.0% at last review,Baa1-Baa3 and 13.4% compared to 21.0% at last review, Ba1-Ba3 and8.6% compared to 6.1% at last review, B1-B3 and 0.0% compared to1.3% at last review, Caa1-Ca/C and 49.3% compared to 59.0% at lastreview.

Moody's modeled a WAL of 3.2 years, compared to 3.0 years at lastreview. The WAL is based on assumptions about extensions on theunderlying collateral loan exposures.

Moody's modeled a fixed WARR of 4.6%, compared to 9.3% at lastreview.

Moody's modeled a MAC of 0.0%, compared to 5.0% at last review.

Factors that would lead to an upgrade or downgrade of the rating:

The performance of the notes is subject to uncertainty, because itis sensitive to the performance of the underlying portfolio, whichin turn depends on economic and credit conditions that are subjectto change. The servicing decisions of the master and specialservicer and surveillance by the operating advisor with respect tothe collateral interests and oversight of the transaction will alsoaffect the performance of the rated notes.

Moody's Parameter Sensitivities: Changes to any one or more of thekey parameters could have rating implications for some of the ratednotes, although a change in one key parameter assumption could beoffset by a change in one or more of the other key parameterassumptions. The rated notes are particularly sensitive to changesin the ratings of the underlying collateral and assessments.Increasing the recovery rate of the collateral pool by 10% wouldresult in an average modeled rating movement on the rated notes ofthree notches upward (e.g., one notch up implies a ratings movementof Baa3 to Baa2). Decreasing the recovery rate of the collateralpool to 0% would result in an average modeled rating movement onthe rated notes of one notch downward (e.g., one notch down impliesa ratings movement of Baa3 to Ba1).

The primary sources of uncertainty in Moody's assumptions are theextent of growth in the current macroeconomic environment given theweak recovery and certain commercial real estate property markets.Commercial real estate property values continue to improvemodestly, along with a rise in investment activity andstabilization in core property type performance. Limited newconstruction and moderate job growth have aided this improvement.However, sustained growth will not be possible until investmentincreases steadily for a significant period, non-performingproperties are cleared from the pipeline and fears of a euro arearecession abate.

The rating downgraded is a result of the declining performance ofthe related pool and reflects Moody's updated loss expectation onthe pool.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in November 2013.

Factors that would lead to an upgrade or downgrade of the rating:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.9% in January 2016 from 5.7% inJanuary 2015. Moody's forecasts an unemployment central range of4.5% to 5.5% for the 2016 year. Deviations from this centralscenario could lead to rating actions in the sector.

House prices are another key driver of US RMBS performance. Moody'sexpects house prices to continue to rise in 2016. Lower increasesthan Moody's expects or decreases could lead to negative ratingactions.

Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

PREFERRED TERM XXV: Moody's Raises Rating on Cl. B-1 Notes to Ba2-----------------------------------------------------------------Moody's Investors Service has upgraded the ratings on these notesissued by Preferred Term Securities XXV, Ltd.:

PreTSL Combination Series P XXV Trust, a combination note security,was issued in March 2007 and originally comprised $10 million ofthe Class C-1 notes and $10 million of the Income Notes issued byPreferred Term Securities XXV, Ltd.

RATINGS RATIONALE

The rating actions are primarily a result of deleveraging of theClass A-1 notes, an increase in the transaction'sovercollateralization (OC) ratios, repayment of deferred intereston the Class B notes, and resumption of interest payments ofpreviously deferring assets since February 2015.

The Class A-1 notes have paid down by approximately 12.2% or $36.5million since then, using principal proceeds from the redemption ofthe underlying assets and the diversion of excess interestproceeds. The deal received recovery proceeds of $11.0 million, or44.2% of par, from one defaulted asset. In addition, onepreviously deferring bank, with a par of $10 million, has resumedinterest payments on its trust preferred securities. As a result,the Class A-1 notes' par coverage has thus improved to 203.5% from188.0% since February 2015, by Moody's calculations. Based on thetrustee's December 2015 report, the OC ratios of the Class A, B, Cand D notes was 133.8% (limit 128.0%), 109.2% (limit 115.0%), 88.1%(limit 105.5%), and 79.1% (limit 100.3%), respectively, versusFebruary 2015 levels of 130.4%, 106.6%, 87.5%, and 79.2%,respectively. The Class A-1 notes will continue to benefit fromthe diversion of excess interest and the use of proceeds fromredemptions of any assets in the collateral pool.

The key model inputs Moody's used in its analysis, such as par,weighted average rating factor, and weighted average recovery rate,are based on its methodology and could differ from the trustee'sreported numbers. In its base case, Moody's analyzed theunderlying collateral pool has having a performing par andprincipal proceeds balance (after treating deferring securities asperforming if they meet certain criteria) of $518.3 million,defaulted/deferring par of $199 million, a weighted average defaultprobability of 8.46% (implying a WARF of 760), and a weightedaverage recovery rate upon default of 10%. In addition to thequantitative factors Moody's explicitly models, qualitative factorsare part of rating committee considerations. Moody's considers thestructural protections in the transaction, the risk of an event ofdefault, recent deal performance under current market conditions,the legal environment and specific documentation features. Allinformation available to rating committees, including macroeconomicforecasts, inputs from other Moody's analytical groups, marketfactors, and judgments regarding the nature and severity of creditstress on the transactions, can influence the final ratingdecision.

Methodology Underlying the Rating Action

The principal methodology used in these ratings was "Moody'sApproach to Rating TruPS CDOs," published in June 2014.

Factors that Would Lead to an Upgrade or Downgrade of the Rating:

This transaction is subject to a number of factors andcircumstances that could lead to either an upgrade or downgrade ofthe ratings, as described below:

1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in

the general economy. Moody's has a stable outlook on the US banking and insurance sectors.

2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance.

3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority.

4) Resumption of interest payments by deferring assets: A number

of banks have resumed making interest payments on their TruPS. The timing and amount of deferral cures could have significant positive impact on the transaction's over- collateralization ratios and the ratings on the notes.

5) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc or credit estimates. Because these are not public ratings, they

are subject to additional uncertainties.

Loss and Cash Flow Analysis:

Moody's applied a Monte Carlo simulation framework in Moody'sCDOROM to model the loss distribution for TruPS CDOs. Thesimulated defaults and recoveries for each of the Monte Carloscenarios defined the reference pool's loss distribution. Moody'sthen used the loss distribution as an input in its CDOEdge cashflow model.

The portfolio of this CDO contains mainly TruPS issued by small tomedium sized U.S. community banks and insurance companies thatMoody's does not rate publicly. To evaluate the credit quality ofbank TruPS that do not have public ratings, Moody's uses RiskCalc,an econometric model developed by Moody's Analytics, to derivecredit scores. Moody's evaluation of the credit risk of most ofthe bank obligors in the pool relies on the latest FDIC financialdata. For insurance TruPS that do not have public ratings, Moody'srelies on the assessment of its Insurance team, based on the creditanalysis of the underlying insurance firms' annual statutoryfinancial reports.

In addition to the base case analysis, Moody's also conductedsensitivity analyses to test the impact of a number of defaultprobabilities on the rated notes relative to the base case modelingresults, which may be different from the current public ratings ofthe notes. Below is a summary of the impact of different defaultprobabilities (expressed in terms of WARF) on all of the ratednotes (by the difference in the number of notches versus thecurrent model output, for which a positive difference correspondsto lower expected loss):

The ratings on seven P&I classes, Classes C through J, wereupgraded based primarily on an increase in credit support resultingfrom loan paydowns and amortization. The deal has paid down 21%since Moody's last review.

The ratings on ten P&I classes were affirmed because thetransaction's key metrics, including Moody's loan-to-value (LTV)ratio, Moody's stressed debt service coverage ratio (DSCR) and thetransaction's Herfindahl Index (Herf), are within acceptableranges. The ratings on two P&I classes, Class P and Q, wereaffirmed because the ratings are consistent with Moody's expectedloss.

The rating on the IO class was affirmed based on the creditperformance (or the weighted average rating factor or WARF) of itsreferenced classes.

Moody's rating action reflects a base expected loss of 2.5% of thecurrent balance, compared to 2.6% at Moody's last review. Moody'sbase expected loss plus realized losses is now 1.3% of the originalpooled balance, compared to 1.6% at the last review. Moody'sprovides a current list of base expected losses for conduit andfusion CMBS transactions on moodys.com athttp://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF215255.

FACTORS THAT WOULD LEAD TO AN UPGRADE OR DOWNGRADE OF THE RATING:

The performance expectations for a given variable indicate Moody'sforward-looking view of the likely range of performance over themedium term. Performance that falls outside the given range canindicate that the collateral's credit quality is stronger or weakerthan Moody's had previously expected.

Factors that could lead to an upgrade of the ratings include asignificant amount of loan paydowns or amortization, an increase inthe pool's share of defeasance or an improvement in poolperformance.

Factors that could lead to a downgrade of the ratings include adecline in the performance of the pool, loan concentration, anincrease in realized and expected losses from specially servicedand troubled loans or interest shortfalls.

DEAL PERFORMANCE

As of the February 17, 2016 distribution date, the transaction'saggregate certificate balance has decreased by 67% to $334 millionfrom $1.02 billion at securitization. The certificates arecollateralized by 111 mortgage loans ranging in size from less than1% to 7% of the pool, with the top ten loans constituting 35% ofthe pool. All but three of the remaining loans (99% of the poolbalance) fully amortize throughout their loan term. The pool doesnot contain any defeased loans or loans with a structured creditassessment.

There are no loans on the master servicer's watchlist or in specialservicing. Two loans have been liquidated from the pool, resultingin an aggregate realized loss of $5.3 million (for an average lossseverity of 67%).

Moody's has assumed a high default probability for five poorlyperforming loans, constituting 3.7% of the pool, and has estimatedan aggregate loss of $2.5 million (a 20% expected loss based on a50% probability default) from these troubled loans.

Moody's actual and stressed conduit DSCRs are 1.34X and 2.12X,respectively, compared to 1.35X and 1.94X at the last review.Moody's actual DSCR is based on Moody's NCF and the loan's actualdebt service. Moody's stressed DSCR is based on Moody's NCF and a9.25% stress rate the agency applied to the loan balance.

The top three exposures represent 16% of the pool balance. Thelargest exposure consists of two cross collateralized loans ($21.8million -- 6.5% of the pool), which are secured by adjacentshopping centers located in Beckley, West Virginia. Thefully-amortizing loans have amortized over 33% sincesecuritization. Moody's LTV and stressed DSCR are 62% and 1.65X,respectively, compared to 66% and 1.55X at last review.

The second largest exposure is secured by an anchored retail centerlocated in Conway, Arkansas ($17.7 million -- 5.3% of the pool).Overall property performance has been stable for the past threeyears. The three largest tenants lease a combined 46% of the NRA.The fully-amortizing loan has amortized over 20% sincesecuritization. Moody's LTV and stressed DSCR are 42% and 2.28X,respectively, the same as at the last review.

The third largest exposure is secured by a 336-unit multifamilylocated in Orlando, Florida, close to the Orlando InternationalAirport ($14.6 million -- 4.4% of the pool). The property was 98%leased as of July 2015. Moody's LTV and stressed DSCR are 78% and1.22X, respectively, compared to 78% and 1.21X at the last review.

Moody's has affirmed the ratings on the transaction because its keytransaction metrics are commensurate with existing ratings. Whilethe WARF has increased slightly since last review, the increase inWARR offsets any effects. The affirmation is the result of Moody'son-going surveillance of commercial real estate collateralized debtobligation (CRE CDO and Re-REMIC) transactions.

Putnam 2002-1 is a static cash transaction backed by a portfolioof: i) commercial mortgage backed securities (CMBS) (46.5% of thepool balance); ii) asset backed securities (ABS) (43.3%; of which18.3% of these are government-sponsored mortgage-backed securities(RMBS) and the remainder is primarily in the form of subprime andAlt-A RMBS); and iii) CRE CDOs (10.2%). As of the trustee's January4, 2016 report, the aggregate note balance of the transaction,including preferred shares, is $450.0 million, compared to $2billion at issuance with the paydown directed to the senior mostoutstanding class of notes, as a result of full and partialamortization of the underlying collateral.

The pool contains fourteen assets totaling $79.0 million (15.1% ofthe collateral pool balance) that are listed as defaultedsecurities as of the trustee's January 4, 2016 trustee report. Fourof these assets (69.8% of the defaulted balance) are CMBS, oneasset is CRE CDO (12.7%), and nine assets are ABS (primarily in theform of non-government sponsored RMBS (17.5%). While there havebeen limited realized losses on the underlying collateral to date,Moody's does expect low/moderate losses to occur on the defaultedsecurities.

Moody's has identified the following as key indicators of theexpected loss in CRE CDO CLO transactions: the weighted averagerating factor (WARF), the weighted average life (WAL), the weightedaverage recovery rate (WARR), and Moody's asset correlation (MAC).Moody's typically models these as actual parameters for staticdeals and as covenants for managed deals.

WARF is a primary measure of the credit quality of a CRE CDO CLOpool. Moody's has updated its assessments for the collateral itdoes not rate. The rating agency modeled a bottom-dollar WARF of3464, compared to 3383 at last review. The current ratings on theMoody's-rated collateral and the assessments of the non-Moody'srated collateral follow: Aaa-Aa3 (26.5% compared to 30.5% at lastreview); A1-A3 (10.2% compared to 9.1% at last review); Baa1-Baa3(2.0%, compared to 3.6% at last review); Ba1-Ba3 (5.3% compared to3.2% at last review); B1-B3 (25.7% compared to 19.5% at lastreview); and Caa1-Ca/C (30.3% compared to 34.1% at last review).

Moody's modeled a WAL of 4.0 years, same as last review. The WAL isbased on assumptions about extensions on the underlyingcollateral.

Moody's modeled a fixed WARR of 29.3%, as compared to 23.1% at lastreview.

The affirmations reflect the pool's overall stable performancesince the last review in March 2015 and its concentration. Threeloans/assets remain in the transaction from the original 213 loans:one defeased (65.6%), one real estate owned (REO) asset (21.1%),and one performing loan (13.3%). The senior class, class K, isfully covered by the defeased asset which matures in August 2016.

As of the January 2016 distribution date, the pool's aggregateprincipal balance has been reduced by 99.3% to $5.1 million from$734.9 million at issuance. Interest shortfalls are currentlyaffecting classes L and M.

The REO asset is a 53,000 square foot (sf) mixed use property(retail, office and residential) located in Troy, NY. Theresidential portion of the property was operated as an extendedstay hotel on the upper floors. The loan transferred to specialservicing in December 2008 due to payment default and has been REOsince November 2015. The property is currently being marketed forsale.

The remaining loan in the pool is secured by a 96 unit multifamilyproperty located in Oklahoma City, OK. The fully amortizing loanmatures in 2028. Performance at the property has been stable. Theservicer reported occupancy and a debt service coverage ratio werewith 92.7% and 2.34x, respectively as of year to date Sept. 30, 2015.

SASCO 2005-AR1: Moody's Raises Rating on Class M2 Debt to Caa3--------------------------------------------------------------Moody's Investors Service has upgraded the ratings of four tranchesissued by Structured Asset Securities Corporation (SASCO) Series2005-AR1, which is backed by Subprime mortgage loans.

The upgrades are a result of improving performance of the relatedpools and/or build-up in credit enhancement of the tranches. Theactions reflect the recent performance of the underlying pools andMoody's updated loss expectations on the pools.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in November 2013.

Factors that would lead to an upgrade or downgrade of the rating:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.9% in January 2016 from 5.7% inJanuary 2015. Moody's forecasts an unemployment central range of4.5% to 5.5% for the 2016 year. Deviations from this centralscenario could lead to rating actions in the sector. House pricesare another key driver of US RMBS performance. Moody's expectshouse prices to continue to rise in 2016. Lower increases thanMoody's expects or decreases could lead to negative rating actions. Finally, performance of RMBS continues to remain highly dependenton servicer procedures.

Any change resulting from servicing transfers or other policy orregulatory change can impact the performance of these transactions.

SILVER SPRING: Moody's Lowers Rating on Class D Notes to Ba1------------------------------------------------------------Moody's Investors Service has downgraded the ratings on these notesissued by Silver Spring CLO Ltd.:

Silver Spring CLO Ltd., issued in September 2014, is acollateralized loan obligation (CLO) backed primarily by aportfolio of senior secured loans. The transaction's reinvestmentperiod will end in October 2018.

RATINGS RATIONALE

The rating downgrades on the Class C-1, C-2, D, E and F notesreflect the substantial credit deterioration in the underlyingportfolio of the CLO and increased expected losses on the notes.The credit deterioration in the CLO portfolio is primarily a resultof the transaction's large exposure to energy and commodity-linkedcollateral assets whose ratings were recently downgraded, arecurrently on review for downgrade or have negative creditoutlooks.

Moody's notes that this transaction has a large exposure toobligors in the following industries:

Companies in the energy and commodity related industries faceunfavorable market conditions which have adversely impacted thecredit quality and liquidity profiles of obligors. E&P and OFScompanies, in particular, are struggling with difficult industryfundamentals and operating environments, while Metals & Miningcompanies face weakening demand and a prolonged period ofoversupply. CLOs with large exposures to obligors in the energyand commodity related industries face greater risk of defaults andpotential trading losses, putting negative pressure on par coveragefor the CLO notes.

By way of comparison, most outstanding CLO 2.0s have limitedexposures averaging about 6% to energy and commodity relatedindustries, and therefore have not yet experienced significantdeterioration in credit quality. The exposure to these twoindustries as well as realized and expected changes in creditquality of CLO portfolios are part of the key focal points of ourcurrent CLO rating reviews.

Based on Moody's calculation, reflecting adjustments for 27% of theportfolio which carries Moody's ratings with a negative outlook orare on review for downgrade, Silver Spring CLO Ltd. has a currentportfolio weighted average rating factor (WARF) of 3212 compared toa covenant of 2822. Moody's expects that conclusion of the ongoingrating reviews of these weakened credits will result insubstantially larger holdings of collateral assets rated Caa1 orlower. At the same time, 15% of the portfolio consists ofsecurities from obligors with either Moody's weakest SpeculativeGrade Liquidity (SGL) Rating of SGL-4 or a Corporate Family Rating(CFR) of Caa1 or lower. An increase in Caa-rated assets orpotential defaults could cause an overcollateralization (OC) breachand lead to interest deferrals on the transaction's junior notes topay down the senior notes. Finally, the transaction hasaccumulated a higher than average 6% exposure in second lien loanswhich are vulnerable to poor recoveries in the event of a default.

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inDecember 2015.

Factors that Would Lead to an Upgrade or Downgrade of the Rating:

This transaction is subject to a number of factors andcircumstances that could lead to either an upgrade or downgrade ofthe ratings:

1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy, especially in the energy and commodity sectors, and b) the concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers.

2) Collateral Manager: Performance can also be affected by the manager's investment strategy and behavior, amid volatile market conditions.

3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance

of the collateral can have adverse consequences for CLO performance.

4) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty.

5) Other collateral quality metrics: Reinvestment is allowed and

the manager has the ability to negatively affect the collateral quality metrics' existing buffers against the covenant levels, which could negatively affect the transaction.

6) Weighted Average Spread (WAS): This transaction has a significant exposure to loans with LIBOR floors, and the inclusion of LIBOR floors in its determination of compliance with its WAS test can create additional ratings volatility.

7) Exposure to assets with weak liquidity: The presence of assets with Moody's weakest SGL rating of SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is far higher for companies with SGL- 4 ratings than those with other SGL ratings. Due to the deal's high exposure to SGL-4 rated assets, which constitute around $19.5 million of par, Moody's ran a sensitivity case defaulting those assets.

In addition to the base case analysis, Moody's also conductedsensitivity analyses to test the impact of a number of defaultprobabilities on the rated notes relative to the base case modelingresults, which may be different from the current public ratings ofthe notes. Below is a summary of the impact of different defaultprobabilities (expressed in terms of WARF) on all of the ratednotes (by the difference in the number of notches versus thecurrent model output, for which a positive difference correspondsto lower expected loss):

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in "Moody's GlobalApproach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,weighted average rating factor, diversity score and the weightedaverage recovery rate, are based on its published methodology andcould differ from the trustee's reported numbers. In its basecase, Moody's analyzed the collateral pool as having a performingpar and principal proceeds balance of $400.5 million, no defaultedpar, a weighted average default probability of 26.83% (implying aWARF of 3212), a weighted average recovery rate upon default of47.9%, a diversity score of 50 and a weighted average spread of3.76% (before accounting for LIBOR floors).

Moody's incorporates the default and recovery properties of thecollateral pool in cash flow model analysis where they are subjectto stresses as a function of the target rating on each CLOliability reviewed. Moody's derives the default probability fromthe credit quality of the collateral pool and Moody's expectationof the remaining life of the collateral pool. The average recoveryrate for future defaults is based primarily on the seniority of theassets in the collateral pool. In each case, historical and marketperformance and the collateral manager's latitude for trading thecollateral are also factors.

SILVERMORE CLO: Moody's Lowers Rating on Cl. C Notes to Ba1-----------------------------------------------------------Moody's Investors Service has downgraded the ratings on these notesissued by Silvermore CLO Ltd.:

Silvermore CLO Ltd., issued in May 2014, is a collateralized loanobligation (CLO) backed primarily by a portfolio of senior securedloans. The transaction's reinvestment period will end in May2018.

RATINGS RATIONALE

The rating downgrades on the Class B, C, D and E notes reflect thesubstantial credit deterioration in the underlying portfolio of theCLO and increased expected losses on the notes. The creditdeterioration in the CLO portfolio is primarily a result of thetransaction's large exposure to energy and commodity-linkedcollateral assets whose ratings were recently downgraded, arecurrently on review for downgrade or have negative creditoutlooks.

Moody's notes that this transaction has a large exposure toobligors in these industries:

Companies in the energy and commodity related industries faceunfavorable market conditions which have adversely impacted thecredit quality and liquidity profiles of obligors. E&P and OFScompanies, in particular, are struggling with difficult industryfundamentals and operating environments, while Metals & Miningcompanies face weakening demand and a prolonged period ofoversupply. CLOs with large exposures to obligors in the energyand commodity related industries face greater risk of defaults andpotential trading losses, putting negative pressure on par coveragefor the CLO notes.

By way of comparison, most outstanding CLO 2.0s have limitedexposures averaging about 6% to energy and commodity relatedindustries, and therefore have not yet experienced significantdeterioration in credit quality. The exposure to these twoindustries as well as realized and expected changes in creditquality of CLO portfolios are part of the key focal points of ourcurrent CLO rating reviews.

Based on Moody's calculation, reflecting adjustments for 29% of theportfolio which carries Moody's ratings with a negative outlook orare on review for downgrade, Silvermore CLO Ltd. has a currentportfolio weighted average rating factor (WARF) of 3401 compared toa covenant of 2970. Moody's expects that conclusion of the ongoingrating reviews of these weakened credits will result insubstantially larger holdings of collateral assets rated Caa1 orlower. At the same time, 16% of the portfolio consists ofsecurities from obligors with either Moody's weakest SpeculativeGrade Liquidity (SGL) Rating of SGL-4 or a Corporate Family Rating(CFR) of Caa1 or lower. An increase in Caa-rated assets orpotential defaults could cause an overcollateralization (OC) breachand lead to interest deferrals on the transaction's junior notes topay down the senior notes. Finally, the transaction hasaccumulated a higher than average 5% exposure in second lien loanswhich are vulnerable to poor recoveries in the event of a default.

The principal methodology used in these ratings was "Moody's GlobalApproach to Rating Collateralized Loan Obligations" published inDecember 2015.

Factors that Would Lead to an Upgrade or Downgrade of the Rating:

This transaction is subject to a number of factors andcircumstances that could lead to either an upgrade or downgrade ofthe ratings:

1) Macroeconomic uncertainty: CLO performance is subject to a) uncertainty about credit conditions in the general economy, especially in the energy and commodity sectors, and b) the concentration of upcoming speculative-grade debt maturities, which could make refinancing difficult for issuers.

2) Collateral Manager: Performance can also be affected by the manager's investment strategy and behavior, amid volatile market conditions.

3) Collateral credit risk: A shift towards collateral of better credit quality, or better credit performance of assets collateralizing the transaction than Moody's current expectations, can lead to positive CLO performance. Conversely, a negative shift in credit quality or performance

of the collateral can have adverse consequences for CLO performance.

4) Recovery of defaulted assets: Fluctuations in the market value of defaulted assets reported by the trustee and those that Moody's assumes as having defaulted could result in volatility in the deal's OC levels. Further, the timing of recoveries and whether a manager decides to work out or sell defaulted assets create additional uncertainty.

5) Other collateral quality metrics: Reinvestment is allowed and

the manager has the ability to negatively affect the collateral quality metrics' existing buffers against the covenant levels, which could negatively affect the transaction.

6) Weighted Average Spread (WAS): This transaction has a significant exposure to loans with LIBOR floors, and the inclusion of LIBOR floors in its determination of compliance with its WAS test can create additional ratings volatility.

7) Exposure to assets with weak liquidity: The presence of assets with Moody's weakest SGL rating of SGL-4, exposes the notes to additional risks if these assets default. The historical default rate is far higher for companies with SGL- 4 ratings than those with other SGL ratings. Due to the deal's high exposure to SGL-4 rated assets, which constitute around $22.6 million of par, Moody's ran a sensitivity case defaulting those assets.

In addition to the base case analysis, Moody's also conductedsensitivity analyses to test the impact of a number of defaultprobabilities on the rated notes relative to the base case modelingresults, which may be different from the current public ratings ofthe notes. Below is a summary of the impact of different defaultprobabilities (expressed in terms of WARF) on all of the ratednotes (by the difference in the number of notches versus thecurrent model output, for which a positive difference correspondsto lower expected loss):

Moody's modeled the transaction using a cash flow model based onthe Binomial Expansion Technique, as described in "Moody's GlobalApproach to Rating Collateralized Loan Obligations."

The key model inputs Moody's used in its analysis, such as par,weighted average rating factor, diversity score and the weightedaverage recovery rate, are based on its published methodology andcould differ from the trustee's reported numbers. In its basecase, Moody's analyzed the collateral pool as having a performingpar and principal proceeds balance of $500.5 million, no defaultedpar, a weighted average default probability of 28.44% (implying aWARF of 3401), a weighted average recovery rate upon default of48.27%, a diversity score of 51 and a weighted average spread of3.75% (before accounting for LIBOR floors).

Moody's incorporates the default and recovery properties of thecollateral pool in cash flow model analysis where they are subjectto stresses as a function of the target rating on each CLOliability reviewed. Moody's derives the default probability fromthe credit quality of the collateral pool and Moody's expectationof the remaining life of the collateral pool. The average recoveryrate for future defaults is based primarily on the seniority of theassets in the collateral pool. In each case, historical and marketperformance and the collateral manager's latitude for trading thecollateral are also factors.

TABERNA PREFERRED V: Moody's Hikes Rating on 2 Tranches to B3-------------------------------------------------------------Moody's Investors Service has upgraded the ratings on these notesissued by Taberna Preferred Funding V, Ltd.:

The rating actions are primarily a result of the deleveraging ofthe Class A-1LA and Class A-1LAD notes, an increase in thetransaction's over-collateralization ratios and the improvement inthe credit quality of the underlying portfolio since February2015.

The Class A-1LA and Class A-1LAD notes have collectively paid downby approximately 18.2% or $51.6 million since February 2015 usingprincipal proceeds from the redemption of the underlying assets andthe diversion of excess interest proceeds. As a result, the ClassA-1LA and Class A-1LAD notes' par coverage has thus improved to123.9% from 115.8% since then by Moody's calculations. Based onthe trustee's January 2016 report, the over-collateralization ratioof the Class A-1LB notes was 102.6% (limit 125.0%), versus 100.5%on February 2015 and that of the Class A-2L notes, 78.3% (limit125%), versus 79.0% in February 2015.

In addition, diversion of excess interest to pay down the noteswill increase materially after the interest rate swap matures inFebruary 2016. On the last payment date in February 2016, the dealpaid $2.8 million of interest proceeds to the swap counterparty. Asa result of the acceleration of the notes' payments, the ClassA-1LA and Class A-1LAD notes will continue to benefit from thediversion of excess interest and the use of proceeds fromredemptions of any assets in the collateral pool.

The deal has also benefited from improvement in the credit qualityof the underlying portfolio. According to Moody's calculations,the weighted average rating factor (WARF) improved to 3659 inFebruary 2016.

The action takes into consideration the Event of Default (EoD) andsubsequent acceleration that occurred in January 2011. Thetransaction declared an EoD according to Section 5.1 (a) of theindenture due to a default in the payment of interest due on theClass A-1LA, Class A-1LAD, and Class A-1LB notes.

The key model inputs Moody's used in its analysis, such as par,weighted average rating factor, and weighted average recovery rate,are based on its methodology and could differ from the trustee'sreported numbers. In its base case, Moody's analyzed theunderlying collateral pool has having a performing par of $287.0million, defaulted and deferring par of $109.2 million, a weightedaverage default probability of 54.26% (implying a WARF of 3659),and a weighted average recovery rate upon default of 9.55%. Inaddition to the quantitative factors Moody's explicitly models,qualitative factors are part of rating committee considerations.Moody's considers the structural protections in the transaction,the risk of an event of default, recent deal performance undercurrent market conditions, the legal environment and specificdocumentation features. All information available to ratingcommittees, including macroeconomic forecasts, inputs from otherMoody's analytical groups, market factors, and judgments regardingthe nature and severity of credit stress on the transactions, caninfluence the final rating decision.

Methodology Underlying the Rating Action

The principal methodology used in these ratings was "Moody'sApproach to Rating TruPS CDOs," published in June 2014.

Factors that Would Lead to an Upgrade or Downgrade of the Rating:

This transaction is subject to a number of factors andcircumstances that could lead to either an upgrade or downgrade ofthe ratings, as described below:

1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in

the general economy.

2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance.

3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority.

4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit scores derived using RiskCalc or credit estimates. Because these are not public ratings, they

are subject to additional uncertainties.

Loss and Cash Flow Analysis:

Moody's applied a Monte Carlo simulation framework in Moody'sCDOROM to model the loss distribution for TruPS CDOs. Thesimulated defaults and recoveries for each of the Monte Carloscenarios defined the reference pool's loss distribution. Moody'sthen used the loss distribution as an input in its CDOEdge cashflow model.

The portfolio of this CDO contains mainly TruPS issued by small tomedium sized REIT that Moody's does not rate publicly. For REITTruPS that do not have public ratings, Moody's REIT group assessestheir credit quality using the REIT firms' annual financials.

In addition to the base case analysis, Moody's also conductedsensitivity analyses to test the impact of a number of defaultprobabilities on the rated notes relative to the base case modelingresults, which may be different from the current public ratings ofthe notes. Below is a summary of the impact of different defaultprobabilities (expressed in terms of WARF) on all of the ratednotes (by the difference in the number of notches versus thecurrent model output, for which a positive difference correspondsto lower expected loss):

The rating upgrades are primarily a result of deleveraging of theClass A-1A and A-1B notes and an increase in the transaction'sovercollateralization (OC) ratios since May 2015.

The Class A-1A and A-1B notes have paid down by approximately 20.2%or $7.0 million and $42.8 million, respectively, since May 2015,using principal proceeds from the redemption of underlying assetsand the diversion of excess interest proceeds. Based on Moody'scalculations, the Class A-1 and Class A-2 OC ratios are 140.5% and96.5%, respectively, versus May 2015 levels of 127.5% and 93.5%. The credit quality of the portfolio, as indicated by the weightedaverage rating factor (WARF), is also stable since the last ratingaction.

In 2009, the transaction declared an Event of Default because of amissed interest payment on the Class C notes, and a majority of thecontrolling class directed the trustee to declare the notesimmediately due and payable. As a result of the declaration ofacceleration of the notes, all proceeds after paying interest onthe Class A-1A, A-1B and A-2 notes are currently used to pay downthe principal of the Class A-1A and A-1B Notes.

The key model inputs Moody's used in its analysis, such as par,WARF, and weighted average recovery rate, are based on itsmethodology and could differ from the trustee's reported numbers.In its base case, Moody's analyzed the underlying collateral poolas having a performing par of $277.2 million, defaulted anddeferring par of $195.2 million, a weighted average defaultprobability of 43.9% (implying a WARF of 3273), and a weightedaverage recovery rate upon default of 13.1%. In addition to thequantitative factors Moody's explicitly models, qualitative factorsare part of rating committee considerations. Moody's considers thestructural protections in the transaction, the risk of an event ofdefault, recent deal performance under current market conditions,the legal environment and specific documentation features. Allinformation available to rating committees, including macroeconomicforecasts, inputs from other Moody's analytical groups, marketfactors, and judgments regarding the nature and severity of creditstress on the transactions, can influence the final ratingdecision.

Methodology Underlying the Rating Action

The principal methodology used in this rating was "Moody's Approachto Rating TruPS CDOs," published in June 2014.

Factors that Would Lead to an Upgrade or Downgrade of the Rating

This transaction is subject to a number of factors andcircumstances that could lead to either an upgrade or downgrade ofthe ratings, as described below:

1) Macroeconomic uncertainty: TruPS CDOs performance could be negatively affected by uncertainty about credit conditions in

the general economy.

2) Portfolio credit risk: Credit performance of the assets collateralizing the transaction that is better than Moody's current expectations could have a positive impact on the transaction's performance. Conversely, asset credit performance weaker than Moody's current expectations could have adverse consequences on the transaction's performance.

3) Deleveraging: One source of uncertainty in this transaction is whether deleveraging from unscheduled principal proceeds and excess interest proceeds will continue and at what pace. Note repayments that are faster than Moody's current expectations could have a positive impact on the notes' ratings, beginning with the notes with the highest payment priority.

4) Exposure to non-publicly rated assets: The deal contains a large number of securities whose default probability Moody's assesses through credit estimates. Because these are not public ratings, they are subject to additional uncertainties.

Loss and Cash Flow Analysis

Moody's applied a Monte Carlo simulation framework in Moody'sCDOROM to model the loss distribution for TruPS CDOs. Thesimulated defaults and recoveries for each of the Monte Carloscenarios defined the reference pool's loss distribution. Moody'sthen used the loss distribution as an input in its CDOEdge™ cashflow model.

The portfolio of this CDO contains mainly TruPS issued by RealEstate Investment Trusts that Moody's does not rate publicly. Toevaluate the credit quality of REIT TruPS that do not have publicratings, Moody's REIT group assesses their credit quality using theREIT firms' annual financials.

In addition to the base case analysis, Moody's also conductedsensitivity analyses to test the impact of a number of defaultprobabilities on the rated notes relative to the base case modelingresults, which may be different from the current public ratings ofthe notes. Below is a summary of the impact of different defaultprobabilities (expressed in terms of WARF) on all of the ratednotes (by the difference in the number of notches versus thecurrent model output, for which a positive difference correspondsto lower expected loss):

The affirmations are based on stable performance of the underlyingcollateral pool. There have been no delinquent or speciallyserviced loans since issuance. The pool has experienced norealized losses to date and Fitch has not designated any loans asFitch Loans of Concern.

As of the February 2016 distribution date, the pool's aggregateprincipal balance has been reduced by 2.6% to $1.26 billion from$1.3 billion at issuance. Per the servicer reporting, one loan(0.1% of the pool) is defeased. Interest shortfalls are currentlyaffecting class G.

The largest loan in the pool (10%) is the 575 Broadway loan; a169,450 square-foot (sf) mixed-use property located at 575 Broadwayin Manhattan, New York, NY. Originally purchased by the sponsor in1989 for $9.6 million, the property is now occupied by a mix ofretail and office tenants including Prada (retail), Estee Lauder,Inc. (office), Code and Theory (office) and Coldwater Creek(office). According to the January 2016 rent roll, the property is100% occupied. The debt service coverage ratio (DSCR) for theinterest-only loan was reported to be 3.64x as of year-end (YE)2014. At issuance, the occupancy and DSCR was 93% and 3.54x,respectively.

The second largest loan (6.1%) is the Shoppes at River Crossingloan, which is secured by a 727,963 sf shopping center, of which527,963 sf is collateral. The property, located in Macon, GA,which is roughly 75 miles south of Atlanta, is a lifestyle centerwith a power center component. Built in 2008, the subject isanchored by Belk's (ground lease) and Dillard's (not part ofcollateral). Other tenants include Dick's, Barnes & Noble andJoann Fabrics. As of YE 2014, occupancy was reported to be 95% anda 2.62x DSCR.

The third largest loan (6%) is the 2000 Market Street loan, whichis secured by a 29-story, 665,649 sf office building located in thecentral business district of Philadelphia, PA. The property has amix of 65 office tenants with the largest tenants including lawfirms Marshall, Dennehey, Warner, Coleman & Goggin, and FoxRothschild, LLP as well as the Board of Pensions of thePresbyterian Church (U.S.A.), who are all on long-term leases andcombine to occupy 49% of the net rentable area. Occupancy wasreported to be 96% as of September 2015 and the DSCR was 2.18x,both in-line with issuance.

RATING SENSITIVITIES

Rating Outlooks remain Stable. Due to the recent issuance of thetransaction and stable performance, Fitch does not foresee positiveor negative ratings migration until a material economic or assetlevel event changes the transaction's overall portfolio-levelmetrics.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relationto this rating action.

S&P's rating actions on the principal- and interest-payingcertificates follow its analysis of the transaction, primarilyusing its criteria for rating U.S. and Canadian CMBS transactions,which included a review of the credit characteristics andperformance of the remaining assets in the pool, the transaction'sstructure, and the liquidity available to the trust.

The upgrade of the class A-4 certificates to 'AAA (sf)' reflectsthe results of S&P's cash flow analysis. S&P's cash flow analysisindicates that this class should receive its full repayment ofprincipal due to time tranching, as described in "U.S. CMBS 'AAA'Scenario Loss and Recovery Application," published July 21, 2009.

S&P raised its ratings on classes A-5, A-5FL, A-1A, and A-M toreflect its expectation of the available credit enhancement forthese classes, which it believes is greater than its most recentestimate of necessary credit enhancement for the respective ratinglevels. The upgrades also follow S&P's views regarding the currentand future performance of the transaction's collateral andavailable liquidity support. The upgrades also reflect the trustbalance's reduction as well as the full repayment, with lowerexpected loss, of the previously specially serviced asset, PeterCooper Village & Stuyvesant Town asset ($247.7 million originalpool trust balance).

The affirmations of S&P's ratings on the class A-J, B, and Ccertificates reflect its views regarding the current and futureperformance of the transaction's collateral, the transactionstructure, and liquidity support available to the classes.

The ratings on classes D through G remain at 'D (sf)' in accordancewith its interest shortfall criteria. Under these criteria, apotential upgrade can be considered after a class has experienced areimbursement of all past interest shortfalls and the subsequentpayment of timely interest over at least the subsequent six months.In addition, any potential upgrade following an interest shortfallwould also depend upon S&P's determination that no futureshortfalls are likely to occur, considering the underlyingcreditworthiness of the securities.

S&P affirmed its 'AAA (sf)' rating on the class IO interest-only(IO) certificates based on its criteria for rating IO securities.

TRANSACTION SUMMARY

As of the Jan. 15, 2016, trustee remittance report, the collateralpool balance was $4.3 billion, which is 73.6% of the pool balanceat issuance. The pool currently includes 116 loans (adjusting forcrossed loans), 15 real estate owned assets, and three subordinatednotes, down from 181 loans at issuance. Nineteen of these assets($308.6 million, 7.1%) and one subordinate note ($6.0 million,0.1%) are with the special servicer, nine ($175.4 million, 4.1%)are defeased, and 26 ($794.6 million, 18.5%) are on the masterservicer's watchlist. The master servicer, Wells Fargo Bank N.A.,reported financial information for 98.5% of the non-defeased loansin the pool, of which 49.2% was year-end 2014 data, 1.7% waspartial year 2014 data, and the remainder was partial year 2015data.

To date, the transaction has experienced $160.6 million inprincipal losses, or 2.7% of the original pool trust balance. Weexpect losses to reach approximately 5.0% of the original pooltrust balance in the near term, based on losses incurred to dateand additional losses we expect upon the eventual resolution of all19 specially serviced assets. S&P estimated a 100% loss for the onespecially serviced subordinate note.

CREDIT CONSIDERATIONS

As of the Jan. 15, 2016, trustee remittance report, 19 of theseassets ($308.6 million, 7.1%) and one subordinate note ($6.0million, 0.1%) in the pool are with the special servicer, LNRPartners LLC. A total of $110.6 million in appraisal reductionamounts (ARAs) are in effect against the specially servicedassets.

Details of the three largest specially serviced assets are asfollows:

The Corporate Plaza loan ($44.6, 1.0%) has $44.9 million in totalreported exposure and is secured by a 277,799 - sq.-ft. officeproperty in Wilmington, Del. The loan was transferred to thespecial servicer in November 2014, for imminent default due totenancy issues at the property. The reported DSC was 1.37x as ofJune 30, 2015. Occupancy as of July 2015 was 72.7%. There is no ARAin effect against this loan, and S&P expects a moderate loss uponits eventual resolution.

The Scottsdale Medical Office real-estate owned (REO) asset ($36.5,0.9%) has $39.0 million in total reported exposure and is securedby a 154,136-sq.-ft. medical office property in Scottsdale, Ariz.The asset was transferred to the special servicer in October 2013for imminent payment default. The loan became REO on June 4, 2014.The reported DSC and occupancy were 0.15x and 66%, respectively, asof Sept. 30, 2015. An ARA of $24.3 million is in effect againstthis asset, and S&P expects a significant loss upon its eventualresolution.

The Whittier Center REO asset ($26.1, 0.6%) has $29.3 million intotal reported exposure and is secured by a 143,450-sq.-ft.suburban office property in Los Angeles, Calif. The loan wastransferred to special servicing in July 2012 for payment default.The loan became REO on May 23, 2014. The reported DSC and occupancywere 0.34x and 48%, respectively, as of Sept. 30, 2015. An ARA of$12.6 million is in effect against this asset, and S&P expects amoderate loss upon its eventual resolution.

The remaining assets with the special servicer have individualbalances that represent 0.6% or less of the total pool trustbalance. S&P estimated losses for all the 19 specially servicedassets and one subordinate note, arriving at a weighted-averageloss severity of 41.0%.

With respect to the specially serviced assets noted above, aminimal loss is less than 25%, a moderate loss is 26%-59%, and asignificant loss is 60% or greater.

The rating actions are a result of the recent performance of theunderlying pools and reflect Moody's updated loss expectation onthe pools. The rating upgrades are a result of the improvingperformance of the related pools and an increase in creditenhancement available to the bonds.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in November 2013.

Factors that would lead to an upgrade or downgrade of the rating:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.9% in January 2016 from 5.7% inJanuary 2015. Moody's forecasts an unemployment central range of4.5% to 5.5% for the 2016 year. Deviations from this centralscenario could lead to rating actions in the sector.

House prices are another key driver of US RMBS performance. Moody'sexpects house prices to continue to rise in 2016. Lower increasesthan Moody's expects or decreases could lead to negative ratingactions.

Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

The affirmations are due to stable performance and continued cashflow growth since issuance. The Stable Outlooks reflect the limitedprospect for upgrades given the provision to issue additionalnotes.

The certificates represent beneficial ownership interest in thetrust, primary assets of which are 740 wireless sites securing onefixed-rate loan. As of the February 2016 distribution date, theaggregate principal balance of the notes has been reduced by 0.5%to $149.3 from $150 million since issuance.

The transaction is structured with scheduled monthly principalpayments that will amortize down the principal balance 10% by theanticipated repayment date (ARD) in year seven, reducing therefinance risk. The scheduled monthly principal payments are paidsequentially beginning in the third year from closing until thenote's ARD.

The ownership interest in the wireless sites consists of leasepurchase sites, easements and fee interests in land, rooftops orother structures on which site space is allocated for placement oftower and wireless communication equipment. Unlike typical celltower securitizations in which the towers serve as collateral, thecollateral for this securitization generally consists of leasepurchase sites, easements and the revenue stream from the paymentsthe owner of the tower and/or tenants of the site pay to MelTel IIIssuer LLC, formerly known as WCP Issuer LLC.

Fitch analyzed the collateral data and site information provided bythe issuer, MelTel II Issuer LLC. As of February 2016, aggregatenet cash flow increased 19.4% to $19.9 million since the issuanceof the 2013-2 notes. The Fitch stressed DSCR increased from 1.23xat issuance to 1.47x as a result of the increase in net cash flow.Telephony/broadband tenants represented 96.6% of the annualized runrate revenue (ARRR).

MelTel II Issuer LLC, an affiliate of Melody WirelessInfrastructure, acquired Wireless Capital Holdings, LLC, theultimate parent of WCP Guarantor LLC, now known as MelTel IIGuarantor LLC, in January 2015. The manager was replaced by anaffiliate of the new issuer.

Funds in the site acquisition account have been fully deployedafter the acquisition of additional collateral during theacquisition period. The increase in revenue from the acquired sitesexceeds the forecasted revenue underwritten at issuance as therevenue at issuance was stressed to the most conservativeparameters to meet the pool composition tests outlined in thetransaction documents.

RATING SENSITIVITIES

The Outlooks on all classes are expected to remain Stable.Downgrades are unlikely due to continued cash flow growth fromannual rent escalations and automatic renewal clauses resulting inhigher debt service coverage ratios (DSCR) since issuance. Theratings have been capped at 'A' and upgrades are unlikely due tothe specialized nature of the collateral and the potential forchanges in technology to affect long-term demand for wireless towerspace.

DUE DILIGENCE USAGE

No third-party due diligence was provided or reviewed in relationto this rating action.

[*] Moody's Cuts Ratings on $127.8MM FHA/VA RMBS Issued 1999-2005-----------------------------------------------------------------Moody's Investors Service has downgraded the ratings of 14 tranchesissued from three transactions. The collateral backing these dealsconsists of first-lien fixed and adjustable rate mortgage loansinsured by the Federal Housing Administration (FHA), an agency ofthe U.S. Department of Urban Development (HUD) or guaranteed by theVeterans Administration (VA).

The rating actions are primarily a result of the recent performanceof the FHA-VA portfolio and reflect Moody's updated lossexpectations on the pools and the structural nuances of thetransactions. The ratings downgraded are primarily due to theerosion of credit enhancement supporting these bonds due to theamortization of the subordinate bonds and losses incurred by thesubordinate bonds.

A FHA guarantee covers 100% of a loan's outstanding principal and alarge portion of its outstanding interest and foreclosure-relatedexpenses in the event that the loan defaults. A VA guaranteecovers only a portion of the principal based on the lesser ofeither the sum of the current loan amount, accrued and unpaidinterest, and foreclosure expenses, or the original loan amount. HUD usually pays claims on defaulted FHA loans when servicerssubmit the claims, but can impose significant penalties onservicers if it finds irregularities in the claim process laterduring the servicer audits. This can prompt servicers to push moreexpenses to the trust that they deem reasonably incurred thansubmit them to HUD and face significant penalty. The ratingactions consider the portion of a defaulted loan normally notcovered by the FHA or VA guarantee and other servicer expenses theydeemed reasonably incurred and passed on to the trust.

The principal methodology used in these ratings was "FHA-VA US RMBSMethodology" published in November 2013.

Factors that would lead to an upgrade or downgrade of the rating:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.9% in January 2016 from 5.7% inJanuary 2015. Moody's forecasts an unemployment central range of4.5% to 5.5% for the 2016 year. Deviations from this centralscenario could lead to rating actions in the sector.

House prices are another key driver of US RMBS performance. Moody'sexpects house prices to continue to rise in 2016. Lower increasesthan Moody's expects or decreases could lead to negative ratingactions.

Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

The upgrades are a result of improving performance of the relatedpools and/or build-up in credit enhancement of the tranches. Theactions reflect the recent performance of the underlying pools andMoody's updated loss expectations on the pools.

The upgrades are a result of improving performance of the relatedpools and/or build-up in credit enhancement of the tranches. Theactions reflect the recent performance of the underlying pools andMoody's updated loss expectations on the pools.

The upgrades are a result of improving performance of the relatedpools and/or build-up in credit enhancement of the tranches. Theactions reflect the recent performance of the underlying pools andMoody's updated loss expectations on the pools.

The rating actions are a result of the recent performance of theunderlying pools and reflects Moody's updated loss expectation onthese pools. The ratings upgraded are due to the strongerperformance of the underlying collateral and the credit enhancementavailable to the bonds. The ratings downgraded are due to theweaker performance of the underlying collateral, the depletion ofcredit enhancement available to the bonds, and the availability ofprincipal remaining in the waterfall for distribution tosubordinate bonds.

The principal methodology used in these ratings was "US RMBSSurveillance Methodology" published in November 2013.

Factors that would lead to an upgrade or downgrade of the rating:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.9% in January 2016 from 5.7% inJanuary 2015. Moody's forecasts an unemployment central range of4.5% to 5.5% for the 2016 year. Deviations from this centralscenario could lead to rating actions in the sector.

House prices are another key driver of US RMBS performance. Moody'sexpects house prices to continue to rise in 2016. Lower increasesthan Moody's expects or decreases could lead to negative ratingactions.

Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

The rating actions are primarily a result of the recent performanceof the FHA-VA portfolio and reflect Moody's updated lossexpectations on these pools and the structural nuances of thetransactions. The ratings were downgraded due to the erosion ofcredit enhancement supporting these bonds. The current delinquentpipeline includes loans that have been delinquent for severalyears, and the liquidation of these delinquent loans can result inhigher losses that could significantly affect a transaction'scredit enhancement. Moody's believes the severity on some of theseloans could be much higher than the FHA-VA expected severity.

A FHA guarantee covers 100% of a loan's outstanding principal and alarge portion of its outstanding interest and foreclosure-relatedexpenses in the event that the loan defaults. A VA guaranteecovers only a portion of the principal based on the lesser ofeither the sum of the current loan amount, accrued and unpaidinterest, and foreclosure expenses, or the original loan amount. HUD usually pays claims on defaulted FHA loans when servicerssubmit the claims, but can impose significant penalties onservicers if it finds irregularities in the claim process laterduring the servicer audits. This can prompt servicers to push moreexpenses to the trust that they deem reasonably incurred thansubmit them to HUD and face significant penalty. The ratingactions consider the portion of a defaulted loan normally notcovered by the FHA or VA guarantee and other servicer expenses theydeemed reasonably incurred and passed on to the trust.

The principal methodology used in these ratings was "FHA-VA US RMBSMethodology" published in November 2013.

Factors that would lead to an upgrade or downgrade of the rating:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate. The unemployment rate fell to 4.9% in January 2016 from 5.7% inJanuary 2015. Moody's forecasts an unemployment central range of4.5% to 5.5% for the 2016 year. Deviations from this centralscenario could lead to rating actions in the sector.

House prices are another key driver of US RMBS performance. Moody'sexpects house prices to continue to rise in 2016. Lower increasesthan Moody's expects or decreases could lead to negative ratingactions.

Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

[*] Moody's Takes Action on $77MM of Subprime RMBS Issued 2001-2004-------------------------------------------------------------------Moody's Investors Service has upgraded the ratings of nine tranchesfrom five transactions and downgraded the rating of one tranchefrom one transaction, backed by Subprime loans, issued by multipleissuers.

The ratings upgraded are a result of the improving performance ofthe related pools and an increase in credit enhancement availableto the bonds. The rating downgraded is a result of the decliningperformance of the related pools and/or a decrease in creditenhancement available to the bonds. The rating actions reflect therecent performance of the underlying pools and Moody's updated lossexpectation on the pools.

Factors that would lead to an upgrade or downgrade of the rating:

Ratings in the US RMBS sector remain exposed to the high level ofmacroeconomic uncertainty, and in particular the unemployment rate.The unemployment rate fell to 4.9% in January 2016 from 5.7% inJanuary 2015. Moody's forecasts an unemployment central range of4.5% to 5.5% for the 2016 year. Deviations from this centralscenario could lead to rating actions in the sector.

House prices are another key driver of US RMBS performance. Moody'sexpects house prices to continue to rise in 2016. Lower increasesthan Moody's expects or decreases could lead to negative ratingactions.

Finally, performance of RMBS continues to remain highly dependenton servicer procedures. Any change resulting from servicingtransfers or other policy or regulatory change can impact theperformance of these transactions.

[*] S&P Takes Rating Actions on 58 Classes from 36 U.S. RMBS Deals------------------------------------------------------------------Standard & Poor's Ratings Services lowered 33 ratings (including 22to 'D (sf)') on 20 U.S. residential mortgage-backed securities(RMBS) transactions. S&P also removed four ratings fromCreditWatch, where they were placed with negative implications onOct. 30, 2015, and Dec. 14, 2015. In addition, S&P placed sevenratings from four transactions on CreditWatch with negativeimplications while three ratings from two transactions remain onCreditWatch negative. S&P also affirmed and removed fromCreditWatch negative 11 classes from eight transactions after itreceived information to successfully assess the impact of interestshortfalls on these classes. Lastly, S&P discontinued its ratingson four classes from four transactions after they were paid infull.

The CreditWatch placements reflect that the trustee reports citedinterest shortfalls on the affected classes in recent remittanceperiods, which could negatively affect our ratings on thoseclasses. After verifying these possible interest shortfalls, S&Pwill adjust the ratings as it considers appropriate according toits criteria.

All of the transactions in this review were issued between 2002 and2007 and are supported by a mix of fixed- and adjustable-rate loanssecured primarily by one- to four-family residential properties.

Some combination of subordination, overcollateralization (whenavailable), excess interest, and bond insurance (as applicable)provide credit enhancement for all of the transactions in thisreview. Where the bond insurer is no longer rated, S&P solelyrelied on the underlying collateral's credit quality and thetransaction structure to derive the ratings.

ANALYTICAL CONSIDERATIONS

Application Of Interest Shortfall Criteria

In reviewing these classes, S&P applied its interest shortfallcriteria as stated in "Structured Finance Temporary InterestShortfall Methodology," Dec. 15, 2015, which impose a maximumrating threshold on classes that have incurred interest shortfallsresulting from credit or liquidity erosion. In applying thecriteria, S&P looked to reimbursement provisions within eachpayment waterfall for the applicable class to determine whether thereimbursement must be made immediately. In instances whereimmediate reimbursement is required, S&P used the maximum length oftime until full interest repayment as part of its analysis toassign the rating on the class.

In instances where reimbursement may be delayed by other factorswithin the payment waterfall, S&P used its cash flow projectionswhen determining the likelihood that the shortfall would bereimbursed.

DOWNGRADES

Each of the 33 lowered ratings reflects the application of S&P'sinterest shortfall criteria, except for one rating that S&P loweredbased on a principal write-down received in the recent remittanceperiod. For those classes that feature delayed reimbursementprovisions, S&P projected the transactions' cash flows to assessthe likelihood of the interest shortfalls' reimbursement. Wherethese projections led to ratings that were significantly lower thantheir current ratings, the transactions exhibited one or more ofthese characteristics:

Of the lowered ratings in this review, four moved tospeculative-grade ('BB+' or lower) from investment-grade ('BBB-)'or higher), and one remained at investment-grade. The remaining 28lowered ratings were already speculative-grade before today'srating actions.

DISCONTINUANCES

S&P discontinued its ratings on four classes from four transactionsbecause these classes were paid in full during recent remittanceperiods.

ECONOMIC OUTLOOK

When determining a U.S. RMBS collateral pool's relative creditquality, S&P's loss expectations stem, to a certain extent, fromits view of how the loans will behave under various economicconditions. Standard & Poor's baseline macroeconomic outlookassumptions for variables that it believes could affect residentialmortgage performance are:

-- An overall unemployment rate declining to 4.8% in 2016; -- Real GDP growth increasing to 2.7% in 2016; -- The inflation rate will be 1.9% in 2016; and -- The 30-year fixed mortgage rate will rise to 4.4% in 2016.

S&P's outlook for RMBS is stable. Although S&P views overallhousing fundamentals positively, it believes RMBS fundamentalsstill hinge on additional factors, such as the ultimate fate ofmodified loans, the propensity of servicers to advance ondelinquent loans, and liquidation timelines.

Under S&P's baseline economic assumptions, it expects RMBScollateral quality to improve. However, if the U.S. economy wereto become stressed in line with Standard & Poor's downsideforecast, it believes that U.S. RMBS credit quality would weaken.S&P's downside scenario reflects these key assumptions:

-- Total unemployment will tick up to 5.4% for 2016; -- Downward pressure causes GDP growth to fall to 1.3% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate inches up to 4.0% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates.

All of the transactions in this review were issued between 2003 and2010 and are supported by underlying classes from RMBS transactionsbacked by a mix of various mortgage loan collateral types.

Subordination, overcollateralization (where available), excessinterest, as applicable, and bond insurance, provide credit supportfor the re-REMIC transactions' underlying securities. Where thebond insurer is rated lower than what S&P would rate the respectiveclass, it relied solely on the underlying collateral's creditquality and the transaction structure to derive the rating. Inaddition, the re-REMICs' capital structures contain subordination.

ANALYTICAL CONSIDERATIONS

S&P routinely incorporates various considerations into itsdecisions to raise, lower, or affirm ratings when reviewing theindicative ratings suggested by S&P's projected cash flows. Theseconsiderations are based on specific performance or structuralcharacteristics, or both, and their potential effects on certainclasses.

UPGRADES

S&P raised its ratings on 18 classes as the projected creditsupport for these classes is sufficient to cover S&P's projectedlosses at these rating levels. The upgrades reflect these (amongother reasons):

S&P lowered its ratings on five classes due to deterioratedcollateral performance, an increase in delinquencies and/or anincrease in re-performing loans within the underlying transactions,as well as a decrease in credit support to these classes, amongother reasons.

AFFIRMATIONS

For certain transactions, S&P considered specific performancecharacteristics that, in its view, could add volatility to S&P'sloss assumptions and, in turn, to the ratings suggested by its cashflow projections. In these circumstances, S&P affirmed, ratherthan raised, its ratings on those classes to promote ratingsstability. In general, the bonds that were affected reflect one ormore of:

S&P affirmed 32 ratings in the 'AAA' through 'B' categories. Theseaffirmations reflect S&P's opinion that its projected creditsupport is sufficient to cover its projected losses in those ratingscenarios.

S&P also affirmed eight 'CCC (sf)' ratings. S&P believes that itsprojected credit support will remain insufficient to cover itsprojected losses to these classes.

S&P discontinued its rating on class A-2 from WaMu MortgagePass-Through Certificates Series 2004-RS1 Trust because this classhas been paid in full.

ECONOMIC OUTLOOK

When determining a U.S. RMBS collateral pool's relative creditquality, S&P's loss expectations stem, to a certain extent, fromits view of how the loans will behave under various economicconditions. Standard & Poor's baseline macroeconomic outlookassumptions for variables that it believes could affect residentialmortgage performance are:

-- An overall unemployment rate of 4.8% in 2016; -- Real GDP growth of 2.7% in 2016; -- The inflation rate will be 1.9% in 2016; and -- The 30-year fixed mortgage rate will average about 4.4% in 2016.

S&P's outlook for RMBS is stable. Although S&P views overallhousing fundamentals positively, it believes RMBS fundamentalsstill hinge on additional factors, such as the ultimate fate ofmodified loans, the propensity of servicers to advance ondelinquent loans, and liquidation timelines.

Under S&P's baseline economic assumptions, it expects RMBScollateral quality to improve. However, if the U.S. economy wereto become stressed in line with Standard & Poor's downsideforecast, it believes that U.S. RMBS credit quality would weaken.S&P's downside scenario reflects these key assumptions:

-- Total unemployment will tick up to 5.4% for 2016; -- Downward pressure causes GDP growth to fall to 1.3% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate inches up to 4.0% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates.

[*] S&P Takes Various Rating Actions on 22 U.S. Subprime RMBS-------------------------------------------------------------Standard & Poor's Ratings Services, on Feb. 25, 2016, completed itsreview of 22 U.S. residential mortgage-backed securities (RMBS)transactions issued between 1998 and 2007. The review yieldedeight upgrades, 13 downgrades (including two to 'D (sf)'), and 99affirmations. S&P updated the CreditWatch placements of one of thelowered ratings and 10 of the affirmed ratings, which were allplaced on CreditWatch with negative implications on Jan. 20, 2016.

The transactions in this review are backed by a mix of fixed- andadjustable-rate subprime mortgage loans, which are securedprimarily by first liens on one- to four-family residentialproperties.

Subordination, overcollateralization (when available), excessinterest, and bond insurance (as applicable) provide creditenhancement for the reviewed transactions. Where the bond insureris rated lower than what S&P would rate the respective classwithout bond insurance, or is not rated, it relied solely on theunderlying collateral's credit quality and the transactionstructure to derive the rating.

S&P routinely incorporates various considerations into itsdecisions to raise, lower, or affirm ratings when reviewing theindicative ratings suggested by S&P's projected cash flows. Theseconsiderations are based on specific performance or structuralcharacteristics, or both, and their potential effects on certainclasses.

Application Of U.S. RMBS Pre-2009 Criteria When Loan-Level Data AreNot Available

When performing S&P's credit analysis to determine the foreclosurefrequency for all pools within this review, S&P segmented thecollateral into current loans (including reperforming) anddelinquent loans. S&P further segmented the "current" bucket basedon payment pattern.

Where loan-level data was available, S&P derived the foreclosurefrequency as described in "U.S. RMBS Surveillance Credit And CashFlow Analysis For Pre-2009 Originations," published Feb. 18, 2015.When loan-level data were not available, to derive the currentbucket's foreclosure frequency, S&P made certain assumptionsregarding the percentage of current loans that are reperforming,the percentage of current loans that have impaired credit history,and the adjusted loan-to-value of perfect payers.

S&P used pool-level data to compare each pool's performance withthe cohort average. For pools with high delinquencies andnormalized cumulative losses relative to the cohort average, S&Passumed a higher foreclosure frequency than that of the cohortaverage. Conversely, S&P assumed a lower foreclosure frequency forpools with better observed performance relative to the cohortaverage.

S&P used pool-level data to derive the foreclosure frequency fordelinquent loans because it uses cohort-specific roll rateassumptions as set forth in S&P's pre-2009 RMBS surveillancecriteria.

In this review, S&P did not have loan-level data available forWachovia Mortgage Loan Trust LLC's series 2005-WMC1.

UPGRADES

S&P raised its ratings on eight classes from six transactions basedon improved collateral performance, increased credit support,decreased delinquency levels and/or payment allocation mechanics. The upgrades reflect S&P's opinion that its projected creditsupport for the classes will be sufficient to cover the projectedlosses at the higher rating levels.

DOWNGRADES

S&P lowered its ratings on 13 classes from nine transactions (oneof which will remain on CreditWatch negative). Of the 13downgrades, nine remained at an investment-grade level, and theremaining four downgraded classes already had speculative-graderatings. The downgrades reflect S&P's belief that its projectedcredit support for the affected classes will be insufficient tocover its remaining projected losses for the related transactionsat a higher rating. The downgrades also reflect one or more of:

For certain transactions, S&P considered specific performancecharacteristics that, in its view, could add volatility to its lossassumptions and in turn to the ratings suggested by S&P's cash flowprojections. In these circumstances, S&P affirmed, rather thanraised, its ratings on those classes to promote ratings stability. In general, the bonds that were affected reflect:

Of the 99 affirmed ratings, 29 are investment-grade and 70 arespeculative-grade. The affirmations of classes rated above 'CCC(sf)' reflect the classes' relatively senior positions in paymentpriority and S&P's opinion that its projected credit support issufficient to cover its projected losses at those rating levels.

Ten of the affirmed ratings will remain on CreditWatch withnegative implications and had initially been placed on CreditWatchon Jan. 20, 2016.

CREDITWATCH UPDATES

Eight of the CreditWatch updates reflect S&P's lack of informationnecessary to apply its loan modification criteria after it mademultiple requests to the applicable trustees or servicers for suchinformation.

The remaining three CreditWatch updates reflect the likelyapplication of S&P's loan modification criteria. S&P needs tofurther investigate the weighted average coupon deterioration inthe affected pools before determining what effect suchdeterioration may have on S&P's ratings for those classes.

ECONOMIC OUTLOOK

When determining a U.S. RMBS collateral pool's relative creditquality, S&P's loss expectations stem, to a certain extent, fromits view of how the loans will behave under various economicconditions. Standard & Poor's baseline macroeconomic outlookassumptions for variables that it believes could affect residentialmortgage performance are:

-- An overall unemployment rate declining to 4.8% in 2016; -- Real GDP growth increasing to 2.7% in 2016; -- The inflation rate will be 1.9% in 2016; and -- The 30-year fixed mortgage rate will rise to 4.4% in 2016.

S&P's outlook for RMBS is stable. Although S&P views overallhousing fundamentals positively, it believes RMBS fundamentalsstill hinge on additional factors, such as the ultimate fate ofmodified loans, the propensity of servicers to advance ondelinquent loans, and liquidation timelines.

Under S&P's baseline economic assumptions, it expects RMBScollateral quality to improve. However, if the U.S. economy wereto become stressed in line with Standard & Poor's downsideforecast, it believes that U.S. RMBS credit quality would weaken.S&P's downside scenario reflects these key assumptions:

-- Total unemployment will tick up to 5.4% for 2016; -- Downward pressure causes GDP growth to fall to 1.3% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate inches up to 4.0% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates.

All of the transactions in this review were issued between 2002 and2008 and are supported by a mix of fixed- and adjustable-ratealternative-A, closed-end second lien, negative amortization, andprime jumbo mortgage loan collateral.

Subordination, overcollateralization (where available), excessinterest, as applicable, and bond insurance, provide creditenhancement for the transactions in this review. Where the bondinsurer is rated lower than what S&P would rate the respectiveclass, it relied solely on the underlying collateral's creditquality and the transaction structure to derive the rating.

ANALYTICAL CONSIDERATIONS

S&P routinely incorporates various considerations into itsdecisions to raise, lower, or affirm ratings when reviewing theindicative ratings suggested by S&P's projected cash flows. Theseconsiderations are based on specific performance or structuralcharacteristics, or both, and their potential effects on certainclasses.

APPLICATION OF U.S. RMBS PRE-2009 CRITERIA WHEN LOAN-LEVEL DATA ISNOT AVAILABLE

When performing S&P's credit analysis to determine the foreclosurefrequency for all pools within this review, S&P segmented thecollateral into current loans (including reperforming), anddelinquent loans. S&P further segmented the current bucket basedon payment pattern.

Where loan-level data was available, S&P derived the foreclosurefrequency as described in "U.S. RMBS Surveillance Credit And CashFlow Analysis For Pre-2009 Originations," published Feb. 18, 2015,(pre-2009 surveillance criteria). In instances where loan-leveldata was not available, to derive the foreclosure frequency for thecurrent bucket, S&P made certain assumptions regarding thepercentage of current loans that are reperforming, the percentageof current loans that have impaired credit history, and theadjusted loan-to-value ratio of perfect payers.

S&P used pool-level data to compare each pool's performance to thecohort average. For pools with high delinquencies and normalizedcumulative losses relative to the cohort average, S&P assumed ahigher foreclosure frequency than that associated with the cohortaverage. Conversely, S&P assumed a lower foreclosure frequency forpools with better observed performance relative to the cohortaverage.

With respect to delinquent loans, because S&P uses cohort-specificroll rate assumptions, it used pool-level data to derive theforeclosure frequency of these loans as set forth in S&P's pre-2009surveillance criteria.

Among the downgrades, the ratings on two classes were downgraded tospeculative grade from investment grade, and the ratings on fourclasses remained at investment grade. The additional 16 loweredratings were already speculative grade before the rating actions.

S&P removed the CreditWatch Negative designation on DeutscheMortgage Securities Inc. Mortgage Loan Trust Series 2004-1's classIII-M-1 after downgrading it from 'B- (sf)' to 'CCC (sf)'. TheCreditWatch reflected uncertainty about historical interestshortfalls which S&P resolved during the course of this review.

Of the 22 downgrades, one class reflects the application of S&P'sinterest shortfall criteria. S&P lowered its rating on class M-1from Deutsche Mortgage Securities Inc. Mortgage Loan Trust's series2004-2 to 'CCC (sf)' from 'B- (sf)' to reflect the fact that thisclass has had interest shortfalls outstanding since August 2014.

UPGRADES

S&P raised its ratings on 35 classes from 10 transactions,including one rating that was raised seven notches. The projectedcredit enhancement for the affected classes is sufficient to coverour projected losses at these rating levels. The upgrades reflectone or more of:

For certain transactions, S&P considered specific performancecharacteristics that, in its view, could add volatility to its lossassumptions and, in turn, to the ratings suggested by S&P's cashflow projections. In these circumstances, S&P affirmed, ratherthan raised, its ratings on those classes to promote ratingsstability. In general, the bonds that were affected reflect one ormore of:

S&P affirmed 37 ratings in the 'AAA' through 'A' categories onclasses from eight transactions. In addition, S&P affirmed ratingsin the 'BBB' through 'B' categories on 28 classes from ninetransactions. These affirmations reflect S&P's opinion that itsprojected credit support is sufficient to cover its projectedlosses in those rating scenarios.

S&P also affirmed 31 'CCC (sf)' or 'CC (sf)' ratings. S&P believesthat its projected credit support will remain insufficient to coverits projected losses to these classes. As defined in "Criteria ForAssigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published Oct.1, 2012, the 'CCC (sf)' affirmations indicate that S&P believesthese classes are still vulnerable to default, and the 'CC (sf)'affirmations reflect S&P's belief that these classes remainvirtually certain to default.

DISCONTINUANCES

S&P discontinued its ratings on four classes from two transactions. S&P discontinued its 'D (sf)' rating on American Home MortgageInvestment Trust 2006-2's class III-M-1 because the class has beenfully written down since August 2009. The remaining three classeswere discontinued because the transaction was redeemed in June2015.

ECONOMIC OUTLOOK

When determining a U.S. RMBS collateral pool's relative creditquality, S&P's loss expectations stem, to a certain extent, fromits view of how the loans will behave under various economicconditions. Standard & Poor's baseline macroeconomic outlookassumptions for variables that it believes could affect residentialmortgage performance are:

-- An overall unemployment rate declining to 4.8% in 2016; -- Real GDP growth increasing to 2.7% in 2016; -- The inflation rate will be 1.9% in 2016; and -- The 30-year fixed mortgage rate will rise to 4.4% in 2016.

S&P's outlook for RMBS is stable. Although S&P views overallhousing fundamentals positively, it believes RMBS fundamentalsstill hinge on additional factors, such as the ultimate fate ofmodified loans, the propensity of servicers to advance ondelinquent loans, and liquidation timelines.

Under S&P's baseline economic assumptions, it expects RMBScollateral quality to improve. However, if the U.S. economy wereto become stressed in line with Standard & Poor's downsideforecast, S&P believes that U.S. RMBS credit quality would weaken.S&P's downside scenario reflects these key assumptions:

-- Total unemployment will tick up to 5.4% for 2016; -- Downward pressure causes GDP growth to fall to 1.3% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate inches up to 4.0% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates.

[*] S&P Takes Various Rating Actions on 7 US RMBS Transactions--------------------------------------------------------------Standard & Poor's Ratings Services, on Feb. 23, 2016, took variousactions on 19 classes from seven U.S. residential mortgage-backedsecurities (RMBS) transactions. S&P raised six ratings from threetransactions, and affirmed 11 ratings from five transactions. Onerating remained on CreditWatch with negative implications. S&Palso discontinued its rating on one class from one transactionafter it was paid in full.

All of the transactions in this review were issued between 2000 and2006 and are supported by a mix of fixed- and adjustable-ratesecond-lien high loan-to-value (LTV), closed-end second-lien, homeequity line of credit (HELOC), and alternative-A (Alt-A) mortgageloans originated primarily between 2000 and 2006.

S&P routinely incorporates various considerations into itsdecisions to raise, lower, or affirm ratings when reviewing theindicative ratings suggested by S&P's projected cash flows. Theseconsiderations are based on specific performance or structuralcharacteristics, or both, and their potential effects on certainclasses.

UPGRADES

S&P raised its ratings on six classes from three transactions. Theprojected credit enhancement for the affected classes is sufficientto cover S&P's projected losses at these rating levels. Theupgrades reflect one or more of:

For certain transactions, S&P considered specific performancecharacteristics that, in its view, could add volatility to its lossassumptions and, in turn, to the ratings suggested by S&P's cashflow projections. In these circumstances, S&P affirmed, ratherthan raised, its ratings on those classes to promote ratingsstability. In general, the bonds that were affected reflect one ormore of:

-- A high proportion of interest-only HELOCs that have not yet reset; -- A high proportion of balloon loans in the pool that are approaching their maturity date; and -- Low levels of available credit enhancement.

In addition, classes M-1 and M-2 from Home Loan Trust 2006-HI1 werelimited to a rating of 'A+ (sf)' due to S&P's assessment of theoperational risk, in accordance with S&P's operational riskcriteria.

S&P affirmed five ratings in the 'AAA' through 'A' categories onclasses from four transactions. In addition, S&P affirmed ratingsin the 'BBB' through 'B' categories on two classes from twotransactions. These affirmations reflect S&P's opinion that itsprojected credit support is sufficient to cover its projectedlosses in those rating scenarios.

The rating on class A from GreenPoint Home Equity Loan Trust 2004-1was placed on CreditWatch negative on Jan. 20, 2016, due to a lackof information necessary to apply S&P's loan modification criteria. This rating remains on CreditWatch negative.

DISCONTINUANCES

S&P discontinued its rating on class A-I-7 from Home Loan Trust2000-HI1 because this class has been paid in full.

ECONOMIC OUTLOOK

When determining a U.S. RMBS collateral pool's relative creditquality, S&P's loss expectations stem, to a certain extent, fromits view of how the loans will behave under various economicconditions. Standard & Poor's baseline macroeconomic outlookassumptions for variables that it believes could affect residentialmortgage performance are:

-- An overall unemployment rate of 4.8% in 2016; -- Real GDP growth of 2.7% in 2016; -- The inflation rate will be 1.9% in 2016; and -- The 30-year fixed mortgage rate will average about 4.4% in 2016.

S&P's outlook for RMBS is stable. Although S&P views overallhousing fundamentals positively, it believes RMBS fundamentalsstill hinge on additional factors, such as the ultimate fate ofmodified loans, the propensity of servicers to advance ondelinquent loans, and liquidation timelines.

Under S&P's baseline economic assumptions, it expects RMBScollateral quality to improve. However, if the U.S. economy wereto become stressed in line with Standard & Poor's downsideforecast, it believes that U.S. RMBS credit quality would weaken.S&P's downside scenario reflects these key assumptions:

-- Total unemployment will tick up to 5.4% for 2016; -- Downward pressure causes GDP growth to fall to 1.3% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate inches up to 4.0% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates.

Subordination, overcollateralization, excess interest, and bondinsurance, as applicable, provide credit enhancement for thetransactions in this review. Where the bond insurer is rated lowerthan what S&P would rate the respective class, it relied solely onthe underlying collateral's credit quality and the transactionstructure to derive the rating. In addition, certain transactionsbenefit from an interest reserve fund.

All of the transactions in this review are backed by a mix offixed- and adjustable-rate seasoned subprime mortgage loans andresidential retail installment contracts, some of which weredelinquent at the time the transactions closed.

DOWNGRADES

The downgrades on Mid-State Capital Corp. 2006-1 Trust's class M-1notes and Mid-State Trust XI's class M-2 notes reflect S&P's beliefthat its projected credit support for the affected classes will beinsufficient to cover its projected losses for the relatedtransaction at a higher rating. S&P's view primarily reflectshigher delinquencies for each transaction.

S&P also lowered its ratings on the class A notes from Mid-StateCapital Corp. 2004-1 Trust and Mid-State Capital Corp. 2006-1 to'AA+ (sf)' based on S&P's assessment of the disruption riskassociated with the transactions' servicer (Ditech Financial LLC;not rated) and S&P's severity and portability assessmentsassociated with the collateral. S&P ranked the servicer'sdisruption risk, which reflects S&P's view of the likelihood of amaterial disruption in its services, as moderate. S&P also rankedthe severity and portability risks for this transaction asmoderate, given the unique nature of the collateral and the limitednumber of active servicers for this collateral. Given these riskassessments, S&P's operational risk criteria cap the ratings onthis transaction at 'AA (sf)', but also allow for a one notchincrease to 'AA+ (sf)' because S&P views the trustee for thetransactions as a qualified back-up key transaction party.

UPGRADES

S&P raised its ratings on two classes from two transactions toreflect increased credit enhancement and the diminished likelihoodthat the classes will experience interest shortfalls or principalwrite-downs before their expected final payment date.

AFFIRMATIONS

For certain transactions, S&P considered specific performancecharacteristics that, in its view, could add volatility to its lossassumptions and, in turn, to the ratings suggested by S&P's cashflow projections. In these circumstances, S&P affirmed, ratherthan raised, its ratings on those classes to promote ratingsstability. In general, the bonds that were affected reflect one ormore of:

-- Delinquency trends; -- A low priority of principal payments; -- A high proportion of re-performing loans in the pool; and -- Low subordination or overcollateralization, or both.

S&P routinely incorporates various considerations in its decisionsto raise, lower, or affirm ratings when reviewing the indicativeratings suggested by S&P's projected cash flows. Theseconsiderations are based on specific performance or structuralcharacteristics, or both, and their potential effects on certainclasses.

APPLICATION OF U.S. RMBS PRE-2009 CRITERIA WHEN LOAN-LEVEL DATA ARENOT AVAILABLE

When performing S&P's credit analysis to determine the foreclosurefrequency for all pools within this review, S&P segmented thecollateral into current (including reperforming) and delinquentloans. S&P further segmented the current bucket based on paymentpattern.

Because loan-level data were not available, to derive theforeclosure frequency for the current bucket, S&P made certainassumptions regarding the percentage of current loans that arereperforming, the percentage of current loans that have impairedcredit history, and the adjusted loan-to-value ratio of perfectpayers.

S&P used pool-level data to compare the transaction pool'sperformance to the cohort average. For pools with highdelinquencies and normalized cumulative losses relative to thecohort average, S&P assumed a higher foreclosure frequency thanthat associated with the cohort average. Conversely, S&P assumed alower foreclosure frequency for pools with better observedperformance relative to the cohort average.

For delinquent loans, because S&P uses cohort-specific roll rateassumptions, it used pool-level data to derive the foreclosurefrequency of these loans as set forth in S&P's U.S. RMBS pre-2009criteria.

ECONOMIC OUTLOOK

When determining a U.S. RMBS collateral pool's relative creditquality, S&P's loss expectations stem, to a certain extent, fromits view of how the loans will behave under various economicconditions. Standard & Poor's baseline macroeconomic outlookassumptions for variables that it believes could affect residentialmortgage performance are:

-- An overall unemployment rate of 4.8% for 2016; -- Real GDP growth of 2.7% for 2016; -- The 30-year fixed mortgage rate will rise to 4.4% in 2016; and -- The inflation rate will be 1.9% in 2016.

S&P's outlook for RMBS is stable. Although S&P views overallhousing fundamentals positively, it believes RMBS fundamentalsstill hinge on additional factors, such as the ultimate fate ofmodified loans, the propensity of servicers to advance ondelinquent loans, and liquidation timelines.

Under S&P's baseline economic assumptions, it expects RMBScollateral quality to improve. However, if the U.S. economy wereto become stressed in line with Standard & Poor's downsideforecast, S&P believes that U.S. RMBS credit quality would weaken.S&P's downside scenario reflects these key assumptions:

-- Total unemployment will tick up to 5.4% for 2016; -- Downward pressure causes GDP growth to fall to 2.3% in 2016; -- Home price momentum slows as potential buyers are not able to purchase property; and -- While the 30-year fixed mortgage rate inches up to 4.0% in 2016, limited access to credit and pressure on home prices will largely prevent consumers from capitalizing on these rates.

Monday's edition of the TCR delivers a list of indicative pricesfor bond issues that reportedly trade well below par. Prices areobtained by TCR editors from a variety of outside sources duringthe prior week we think are reliable. Those sources may not,however, be complete or accurate. The Monday Bond Pricing tableis compiled on the Friday prior to publication. Prices reportedare not intended to reflect actual trades. Prices for actualtrades are probably different. Our objective is to shareinformation, not make markets in publicly traded securities.Nothing in the TCR constitutes an offer or solicitation to buy orsell any security of any kind. It is likely that some entityaffiliated with a TCR editor holds some position in the issuerspublic debt and equity securities about which we report.

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